Optimal retirement in a general market environment

DOI10.1007/s00245-020-09671-6zbMath1470.91253OpenAlexW3014393764MaRDI QIDQ2045148

Zhou Yang, Yong Hyun Shin, Hyeng Keun Koo

Publication date: 11 August 2021

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

Full work available at URL: https://doi.org/10.1007/s00245-020-09671-6

zbMATH Keywords

consumptionleisureportfolio selectionearly retirementbackward stochastic partial differential variational inequalitynon-Markovian market environmentstochastic free boundary problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (6)

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 ⋮ Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework ⋮ Unnamed Item ⋮ Optimal Retirement Under Partial Information

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