Optimal Consumption and Portfolio Selection with Early Retirement Option
Published Online:13 Jun 2018https://doi.org/10.1287/moor.2017.0909
References
- (1994) Baby boom, population aging, and capital markets. J. Bus. 67(2):165–202.Crossref, Google Scholar
- (1974) Nonlinear variational inequalities and differential games with stopping times. J. Functional Anal. 16(3):305–352.Crossref, Google Scholar
- (2006) Disutility, optimal retirement, and portfolio selection. Math. Finance 16(2):443–467.Crossref, Google Scholar
- (2008) Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Math. Finance 18(3):445–472.Crossref, Google Scholar
- (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econom. Theory 49(1):33–83.Crossref, Google Scholar
- (2010) Lifetime consumption and investment: Retirement and constrained borrowing. J. Econom. Theory 145(3):885–907.Crossref, Google Scholar
- (2011) Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing. Math. Oper. Res. 36(4):620–635.Link, Google Scholar
- (2010) Partial Differential Equations (American Mathematical Society, Providence, RI).Crossref, Google Scholar
- (2007) Saving and investing for early retirement: A theoretical analysis. J. Financial Econom. 83(1):87–121.Crossref, Google Scholar
- (2006) Controlled Markov Processes and Viscosity Solutions (Springer-Verlag, New York).Google Scholar
- (1973) Stochastic games and variational inequalities. Arch. Rational Mech. Anal. 51(5):321–346.Crossref, Google Scholar
- (1975) Parabolic variational inequalities in one space dimension and smoothness of the free boundary. J. Functional Anal. 18(2):151–176.Crossref, Google Scholar
- (1982) Variational Principles and Free-Boundary Problems (John Wiley & Sons, New York).Google Scholar
- (2009) A generalized mixed zero-sum stochastic differential game and double barrier reflected BSDEs with quadratic growth coefficient. Anal. Stiin. Ale UNIV. Al I Cuza Din Iasi-Serie Noua-Matematica 55(f2):419–444.Google Scholar
- (1963) On a two-sector model of economic growth: Comments and a generalization. Rev. Econom. Stud. 30(2):119–127.Crossref, Google Scholar
- (1998) Methods of Mathematical Finance (Springer-Verlag, New York).Crossref, Google Scholar
- (2000) Utility maximization with discretionary stopping. SIAM J. Control Optim. 39(1):306–329.Crossref, Google Scholar
- (1987) Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. SIAM J. Control Optim. 25(6):1557–1586.Crossref, Google Scholar
- (1986) Explicit solution of a general consumption/investment problem. Math. Oper. Res. 11(2):209–216.Link, Google Scholar
- (2015) A Dynkin game under Knightian uncertainty. Discrete Continuous Dynamical Systems 35(11):5467–5498.Crossref, Google Scholar
- (1980) Controlled Diffusion Processes (Springer-Verlag, New York).Crossref, Google Scholar
- (1996) Second Order Parabolic Differential Equations (World Scientific, Singapore).Crossref, Google Scholar
- (2002) Optimal portfolio selection with transaction costs and finite horizons. Rev. Financial Stud. 15(3):805–835.Crossref, Google Scholar
- (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51(3):247–257.Crossref, Google Scholar
- (2006) Optimal Stopping and Free-Boundary Problems (Birkhäuser Verlag, Basel).Google Scholar
- (2002) Continuous-time Dynkin game with mixed strategies. SIAM J. Control Optim. 41(4):1073–1088.Crossref, Google Scholar
- (1985) On an Aleksandrov-Bakel’man type maximum principle for second-order parabolic equations. Comm. Partial Differential Equations 10(5):543–553.Crossref, Google Scholar
- (1963) On a two-sector model of economic growth II. Rev. Econom. Stud. 30(2):105–118.Crossref, Google Scholar
- (2014) Ratchet consumption over finite and infinite planning horizons. J. Math. Econom. 54(October):74–96.Google Scholar
- (2015) Indifference pricing and hedging in a multiple-priors model with trading constraints. Sci. China Ser. A: Math. 58(4):689–714.Crossref, Google Scholar
- (2013) Dynkin game of stochastic differential equations with random coefficients, and associated backward stochastic partial differential variational inequality. SIAM J. Control Optim. 51(1):64–95.Crossref, Google Scholar
- (1999) Stochastic Control: Hamiltonian Systems and HJB Equations (Springer, New York).Crossref, Google Scholar

