Optimal retirement and portfolio selection with consumption ratcheting
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Publication:2190059
DOI10.1007/s11579-020-00259-wzbMath1443.91261OpenAlexW3006235597MaRDI QIDQ2190059
Publication date: 18 June 2020
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-020-00259-w
portfolio selectionoptimal stopping problemsingular control problemDuesenberryconsumption ratchetingearly retirement option
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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