In the context of decision making for retirees of a defined contribution pension scheme in the de-cumulation phase, we formulate and solve a problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy. We...

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing the utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model, which is a particular case of...