Lifetime consumption and investment: retirement and constrained borrowing
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Publication:972864
DOI10.1016/J.JET.2009.08.003zbMATH Open1245.91044OpenAlexW3125470767MaRDI QIDQ972864FDOQ972864
Publication date: 21 May 2010
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2009.08.003
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Cited In (88)
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- Optimal investment, stochastic labor income and retirement
- Voluntary retirement and portfolio selection: dynamic programming approaches
- Modeling non-monotone risk aversion using SAHARA utility functions
- Optimal consumption-portfolio problem with CVaR constraints
- Increases in risk aversion and the distribution of portfolio payoffs
- Optimal retirement in a general market environment
- Optimal retirement consumption with a stochastic force of mortality
- Borrowing constraints, effective flexibility in labor supply, and portfolio selection
- On retirement time decision making
- Optimal Retirement Under Partial Information
- Reversible job-switching opportunities and portfolio selection
- Optimal retirement and portfolio selection with consumption ratcheting
- Household utility maximization with life insurance: a CES utility case
- A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
- An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
- Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Asset demands and consumption with longevity risk
- Longevity risk and retirement income tax efficiency: a location spending rate puzzle
- Unemployment risks and optimal retirement in an incomplete market
- Annuity and insurance choice under habit formation
- Existence of optimal consumption strategies in markets with longevity risk
- Finite horizon portfolio selection with a negative wealth constraint
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Near-optimal asset allocation in financial markets with trading constraints
- A portfolio choice problem under risk capacity constraint
- Optimal retirement with borrowing constraints and forced unemployment risk
- A generalization of Yaari's result on annuitization with optimal retirement
- Optimal retirement planning under partial information
- Optimal investment problem under non-extensive statistical mechanics
- Optimal life insurance with no-borrowing constraints: duality approach and example
- Optimal investment, consumption and timing of annuity purchase under a preference change
- Verification theorems for models of optimal consumption and investment with annuitization
- On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- Life-Cycle Planning with Ambiguous Economics and Mortality Risks
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Time inconsistency and retirement choice
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal retirement time under habit persistence: what makes individuals retire early?
- Optimal Investment with Time-Varying Stochastic Endowments
- Around the Life Cycle: Deterministic Consumption-Investment Strategies
- Optimal Consumption and Portfolio Selection with Early Retirement Option
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- Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
- Optimal consumption/investment and retirement with necessities and luxuries
- Optimal investment, consumption-leisure, insurance and retirement choice
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Health insurance, portfolio choice, and retirement incentives
- The impact of a partial borrowing limit on financial decisions
- An optimal job, consumption/leisure, and investment policy
- Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
- Optimal investment and consumption when allowing terminal debt
- Portfolio-consumption choice problem with voluntary retirement and consumption constraints
- Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment
- PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS
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- Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
- Robust Portfolio Choice with Sticky Wages
- Effects of a government subsidy and labor flexibility on portfolio selection and retirement
- Human capital and portfolio choice: borrowing constraint and reversible retirement
- A two-person zero-sum game approach for a retirement decision with borrowing constraints
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework
- Labor supply flexibility and portfolio selection with early retirement option
- Horizon effect on optimal retirement decision
- Annuitization and asset allocation with borrowing constraint
- Mutual aid insurance with a three-state Markov chain
- Portfolio choice with illiquid asset for a loss-averse pension fund investor
- Portfolio selection and job switching with CARA utility
- The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement
- Optimal consumption, leisure and job choice under inflationary environment
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- A pricing formula for delayed claims: appreciating the past to value the future
- Robust retirement and life insurance with inflation risk and model ambiguity
- Optimal job switching and retirement decision
- Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
- Optimal expansion of business opportunity
- Analytic approach for models of optimal retirement with disability risk
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