Verification theorems for models of optimal consumption and investment with annuitization

DOI10.1016/j.mathsocsci.2019.11.002zbMath1433.91087OpenAlexW3124262863WikidataQ126838092 ScholiaQ126838092MaRDI QIDQ2173169

Seyoung Park

Publication date: 22 April 2020

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/Verification_theorems_for_models_of_optimal_consumption_and_investment_with_annuitization/11274167

zbMATH Keywords

existenceuniquenessvariational inequalityannuitization

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Cites Work

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• Lifetime consumption and investment: retirement and constrained borrowing
• Annuitization and asset allocation
• A generalization of Yaari's result on annuitization with optimal retirement
• Unemployment Risks and Optimal Retirement in an Incomplete Market
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Utility Maximization with Discretionary Stopping
• Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting*
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION