Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme

DOI10.1007/S00712-020-00710-YzbMath1479.91337OpenAlexW2972619124MaRDI QIDQ2056859

Sergio Vergalli, Francesco Menoncin

Publication date: 8 December 2021

Published in: Journal of Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00712-020-00710-y

zbMATH Keywords

optimal stopping timelabour supplymortality riskasset allocationretirement choice

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Actuarial mathematics (91G05) Labor markets (91B39)

Cites Work

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• The role of longevity bonds in optimal portfolios
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Precautionary retirement and precautionary saving
• Longevity-linked assets and pre-retirement consumption/portfolio decisions

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