DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
From MaRDI portal
Publication:5488982
DOI10.1111/j.1467-9965.2006.00278.xzbMath1145.91343OpenAlexW2091020872MaRDI QIDQ5488982
Gyoocheol Shim, Kyoung Jin Choi
Publication date: 25 September 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00278.x
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (52)
Intertemporal preference with loss aversion: consumption and risk-attitude ⋮ Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement ⋮ Lifetime investment and consumption using a defined-contribution pension scheme ⋮ An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ Time-inconsistent life-cycle consumption and retirement choice with mortality risk ⋮ Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model ⋮ Dynamic asset allocation with consumption ratcheting post retirement ⋮ An optimal job, consumption/leisure, and investment policy ⋮ A generalization of Yaari's result on annuitization with optimal retirement ⋮ Annuitization and asset allocation with borrowing constraint ⋮ Verification theorems for models of optimal consumption and investment with annuitization ⋮ Comparison of optimal portfolios with and without subsistence consumption constraints ⋮ Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity ⋮ Optimal asset allocation, consumption and retirement time with the variation in habitual persistence ⋮ Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment ⋮ An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints ⋮ Optimal retirement time under habit persistence: what makes individuals retire early? ⋮ CARA UTILITY AND OPTIMAL RETIREMENT ⋮ A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints ⋮ Labor supply flexibility and portfolio selection with early retirement option ⋮ Optimal retirement and portfolio selection with consumption ratcheting ⋮ Borrowing constraints, effective flexibility in labor supply, and portfolio selection ⋮ Portfolio selection and job switching with CARA utility ⋮ Horizon effect on optimal retirement decision ⋮ Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space ⋮ Optimal expansion of business opportunity ⋮ Analytic approach for models of optimal retirement with disability risk ⋮ The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement ⋮ Optimal consumption, leisure and job choice under inflationary environment ⋮ Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio ⋮ Optimal investment, stochastic labor income and retirement ⋮ Consumption/investment problem when the investment opportunity set can be enlarged by information gathering ⋮ Voluntary retirement and portfolio selection: dynamic programming approaches ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Optimal job switching and retirement decision ⋮ Unnamed Item ⋮ Optimal investment, consumption-leisure, insurance and retirement choice ⋮ Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints ⋮ On retirement time decision making ⋮ Optimal investment, consumption and retirement decision with disutility and borrowing constraints ⋮ Reversible job-switching opportunities and portfolio selection ⋮ Optimal retirement planning under partial information ⋮ Optimal retirement in a general market environment ⋮ Optimal Consumption and Portfolio Selection with Early Retirement Option ⋮ Optimal portfolio, consumption and retirement decision under a preference change ⋮ Optimal consumption/investment and retirement with necessities and luxuries ⋮ The impact of a partial borrowing limit on financial decisions ⋮ Optimal investment, consumption and timing of annuity purchase under a preference change ⋮ An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach ⋮ Optimal Retirement Under Partial Information ⋮ A Dynkin game under Knightian uncertainty ⋮ An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
Cites Work
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption-portfolio choices and retirement planning
- Hedging in incomplete markets with HARA utility
- A preference change and discretionary stopping in a consumption and portfolio selection problem
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Utility Maximization with Discretionary Stopping
- Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
This page was built for publication: DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
