This paper examines the retirement decision, optimal investment, and consumption strategies under an age … a random time horizon, featuring three state variables: wealth, labor income, and force of mortality. To address this … problem with interconnected dynamics. We establish the existence of an optimal retirement boundary that splits the state space …

The optimal retirement decision is essentially an optimal stopping problem when retirement is irreversible. We … investigate the optimal consumption, investment and retirement problem when the growth rate is unobservable and is estimated by … link the dual problem to an American option with stochastic volatility, and prove for the close of duality gap. The theory …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension … controls reveals the effect of asymmetric preferences on the optimal investment and consumption during income drawdown. One …