Annuitization and asset allocation with borrowing constraint

DOI10.1016/J.ORL.2020.06.007zbMath1478.91164OpenAlexW3038342957MaRDI QIDQ2661518

Jin Gi Kim, Seyoung Park, Bong-Gyu Jang

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.06.007

zbMATH Keywords

retirementborrowing constraintannuitizationwealth threshold

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial markets (91G15)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Lifetime consumption and investment: retirement and constrained borrowing
• Annuitization and asset allocation
• A generalization of Yaari's result on annuitization with optimal retirement
• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

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