Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare

DOI10.3934/JIMO.2023023zbMath1524.49047MaRDI QIDQ6102867

Shaoyong Lai, Zhenmei Lin

Publication date: 23 June 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

optimal consumptionoptimal investmentexogenous shockguarantee of minimum welfare

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Optimal investment choices post-retirement in a defined contribution pension scheme
• Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
• Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
• Optimal retirement and portfolio selection with consumption ratcheting
• Optimal investment-consumption problem: post-retirement with minimum guarantee
• Optimal consumption and investment with insurer default risk
• Optimal investment and consumption decision of a family with life insurance
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• Optimal annuity portfolio under inflation risk
• Income drawdown option with minimum guarantee
• Optimal portfolio selection with life insurance under subjective survival belief and habit formation
• Optimal Consumption and Portfolio Selection with Early Retirement Option
• Life Insurance Purchasing to Maximize Utility of Household Consumption

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