Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing

Published Online:https://doi.org/10.1287/moor.1110.0507

References

  • Dybvig P. H., Liu H. Lifetime consumption and investment: Retirement and constrained borrowing. J. Econom. Theory (2010) 145(3):885–907CrossrefGoogle Scholar
  • Harrison J. M.Brownian Motion and Stochastic Flow Systems (1985) (Wiley, New York) Google Scholar
  • He H., Pagès H. F. Labor income, borrowing constraints, and equilibrium asset prices: A duality approach. Econom. Theory (1993) 3(4):663–696CrossrefGoogle Scholar
  • Karatzas I., Shreve S. E.Brownian Motion and Stochastic Calculus (1991) (Springer-Verlag, New York) Google Scholar
  • Karatzas I., Shreve S. E.Methods of Mathematical Finance (1998) (Springer-Verlag, New York) CrossrefGoogle Scholar
  • Karatzas I., Wang H. Utility maximization with discretionary stopping. SIAM J. Control Optim. (2000) 39(1):306–329CrossrefGoogle Scholar
  • Merton R. C. Lifetime portfolio selection under uncertainty: The continuous time case. Rev. Econom. Statist. (1969) 51(3):247–257CrossrefGoogle Scholar
  • Pliska S. R. A stochastic calculus model of continuous trading: Optimal portfolio. Math. Oper. Res. (1986) 11(2):371–382LinkGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.