Finite-horizon optimal consumption and investment problem with a preference change

DOI10.1016/J.JMAA.2018.12.023zbMath1420.91431OpenAlexW2903659422WikidataQ128757762 ScholiaQ128757762MaRDI QIDQ1728053

Kyunghyun Park, Junkee Jeon

Publication date: 21 February 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.12.023

zbMATH Keywords

variational inequalityportfolio selectionoptimal stopping problempreference changedual method

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (3)

Dynamic asset allocation with consumption ratcheting post retirement ⋮ Optimal retirement and portfolio selection with consumption ratcheting ⋮ Effects of a government subsidy and labor flexibility on portfolio selection and retirement

Cites Work

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• Utility Maximization with Discretionary Stopping
• Optimal Consumption and Portfolio Selection with Early Retirement Option
• Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model

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