We identify decompositions of multi-period optimal portfolios, in which each subportfolio is dedicated to achieving a single investment target, in dynamic models with Von Neumann-Morgenstern preferences and diffusion asset returns (“Merton's problem”). These decompositions rest on...

This study gives an overview of retirement modelling, starting from the single-period consumption/leisure model up to the recent life-cycle multiple-decisions and joint retirement models, paying particular attention to the role played by the option value model in the economic literature on...

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear-quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...