<Para ID="Par1">This paper deals with an investment–consumption portfolio problem when the current utility depends also on the wealth process. Such problems arise e.g. in portfolio optimization with random horizon or random trading times. To overcome the difficulties of the problem, a dual approach is...</para>

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.