Optimal Consumption and Portfolio Selection with Early Retirement Option
From MaRDI portal
Publication:5219704
DOI10.1287/moor.2017.0909zbMath1437.91413MaRDI QIDQ5219704
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2017.0909
variational inequality; consumption; portfolio selection; mandatory retirement; early retirement option
49J40: Variational inequalities
91G20: Derivative securities (option pricing, hedging, etc.)
91B42: Consumer behavior, demand theory
49J20: Existence theories for optimal control problems involving partial differential equations
91G10: Portfolio theory
Related Items
Effects of a government subsidy and labor flexibility on portfolio selection and retirement, Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, Optimal Retirement Under Partial Information, Unnamed Item, Labor supply flexibility and portfolio selection with early retirement option, Horizon effect on optimal retirement decision, Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space, Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare, Optimal expansion of business opportunity, Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio, Finite-horizon optimal consumption and investment problem with a preference change, Finite horizon portfolio selection problems with stochastic borrowing constraints, Optimal retirement in a general market environment, Optimal consumption/investment and retirement with necessities and luxuries, Optimal finite horizon contract with limited commitment, Time-inconsistent life-cycle consumption and retirement choice with mortality risk, Optimal retirement and portfolio selection with consumption ratcheting, Finite horizon portfolio selection problem with a drawdown constraint on consumption, Finite horizon portfolio selection with durable goods, Dynamic asset allocation with consumption ratcheting post retirement, Robust retirement and life insurance with inflation risk and model ambiguity, Optimal job switching and retirement decision
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Dynkin game under Knightian uncertainty
- Ratchet consumption over finite and infinite planning horizons
- Lifetime consumption and investment: retirement and constrained borrowing
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Nonlinear variational inequalities and differential games with stopping times
- Stochastic games and variational inequalities
- Controlled Markov processes and viscosity solutions
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Utility Maximization with Discretionary Stopping
- Continuous-Time Dynkin Games with Mixed Strategies
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
- DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
