Labor supply flexibility and portfolio selection with early retirement option

DOI10.1007/S00245-023-10066-6MaRDI QIDQ6072097zbMATH OpenOpenAlexFDO

Authors Junkee Jeon, Jehan Oh

Publication date 29 November 2023

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-023-10066-6

zbMATH Keywords

free boundary problemoptimal stopping problemportfolio selectionearly retirementlabor supplystochastic wage rate

Mathematics Subject Classification ID

Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

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• Horizon effect on optimal retirement decision
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• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal consumption and portfolio selection with early retirement option
• Optimal consumption-portfolio choices and retirement planning
• Optimal investment and consumption decision of a family with life insurance
• Optimal retirement in a general market environment
• Optimal retirement under partial information
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
• Robust retirement and life insurance with inflation risk and model ambiguity
• Utility Maximization with Discretionary Stopping

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