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Lifetime consumption and investment: Retirement and constrained borrowing

Citations

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Cited by:

  1. Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
  2. Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
  3. Puri, Manju & Robinson, David T., 2007. "Optimism and economic choice," Journal of Financial Economics, Elsevier, vol. 86(1), pages 71-99, October.
  4. Jinhui Zhang & Sachi Purcal & Jiaqin Wei, 2017. "Optimal Time to Enter a Retirement Village," Risks, MDPI, vol. 5(1), pages 1-20, March.
  5. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2015. "A pricing formula for delayed claims: Appreciating the past to value the future," Papers 1505.04914, arXiv.org, revised Jul 2022.
  6. Weidong Tian & Zimu Zhu, 2022. "Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint," Papers 2210.01016, arXiv.org, revised Dec 2023.
  7. Ewald, Christian-Oliver & Zhang, Aihua, 2017. "On the effects of changing mortality patterns on investment, labour and consumption under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 105-115.
  8. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
  9. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
  10. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
  11. He, Lin & Liang, Zongxia & Song, Yilun & Ye, Qi, 2022. "Optimal asset allocation, consumption and retirement time with the variation in habitual persistence," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 188-202.
  12. Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).
  13. Borys Grochulski & Yuzhe Zhang, 2019. "Wealth Effects with Endogenous Retirement," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 173-200.
  14. Tao, Cheng & Rong, Ximin & Zhao, Hui, 2023. "Stochastic control with inhomogeneous regime switching: Application to consumption and investment with unemployment and reemployment," Journal of Mathematical Economics, Elsevier, vol. 107(C).
  15. Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
  16. Park, Seyoung, 2015. "A generalization of Yaari’s result on annuitization with optimal retirement," Economics Letters, Elsevier, vol. 137(C), pages 17-20.
  17. Florina Salaghe & Dimitra Papadovasilaki & Federico Guerrero & James Sundali, 2020. "Temptation and Retirement Accounts: A Story of Time Inconsistency and Bounded Rationality," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 6(3), pages 173-198, April.
  18. Dybvig, Philip H. & Wang, Yajun, 2012. "Increases in risk aversion and the distribution of portfolio payoffs," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1222-1246.
  19. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, June.
  20. Luca Benzoni & Olena Chyruk, 2013. "Human Capital and Long-Run Labor Income Risk," Working Paper Series WP-2013-16, Federal Reserve Bank of Chicago.
  21. Ferrari, Giorgio & Zhu, Shihao, 2023. "Optimal Retirement Choice under Age-dependent Force of Mortality," Center for Mathematical Economics Working Papers 683, Center for Mathematical Economics, Bielefeld University.
  22. Luca Benzon & Olena Chyruk, 2015. "The Value and Risk of Human Capital," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 179-200, December.
  23. Lim, Byung Hwa & Kwak, Minsuk, 2016. "Bequest motive and incentive to retire: Consumption, investment, retirement, and life insurance strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 19-27.
  24. Giorgio Ferrari & Shihao Zhu, 2023. "Optimal Retirement Choice under Age-dependent Force of Mortality," Papers 2311.12169, arXiv.org.
  25. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
  26. Guohui Guan & Qitao Huang & Zongxia Liang & Fengyi Yuan, 2020. "Retirement decision with addictive habit persistence in a jump diffusion market," Papers 2011.10166, arXiv.org, revised Feb 2024.
  27. Jang, Bong-Gyu & Park, Seyoung & Zhao, Huainan, 2020. "Optimal retirement with borrowing constraints and forced unemployment risk," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 25-39.
  28. Wujun Lv & Linlin Tian & Xiaoyi Zhang, 2023. "Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence," Mathematics, MDPI, vol. 11(13), pages 1-20, July.
  29. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
  30. An Chen & Giorgio Ferrari & Shihao Zhu, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Papers 2312.02943, arXiv.org.
  31. Zhou Yang & Hyeng Keun Koo, 2018. "Optimal Consumption and Portfolio Selection with Early Retirement Option," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1378-1404, November.
  32. Ding, Guodong & Marazzina, Daniele, 2022. "The impact of liquidity constraints and cashflows on the optimal retirement problem," Finance Research Letters, Elsevier, vol. 49(C).
  33. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
  34. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
  35. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.
  36. Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  37. Philip H. Dybvig & Hong Liu, 2011. "Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 620-635, November.
  38. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
  39. Chen, Guodong & Lee, Minjoon & Nam, Tong-yob, 2020. "Forced retirement risk and portfolio choice," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 293-315.
  40. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
  41. Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
  42. Chen, An & Hentschel, Felix & Steffensen, Mogens, 2021. "On retirement time decision making," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 107-129.
  43. Ling Wang & Kexin Chen & Mei Choi Chiu & Hoi Ying Wong, 2021. "Optimal Expansion of Business Opportunity," Papers 2112.06706, arXiv.org.
  44. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
  45. Findley, T. Scott & Caliendo, Frank N., 2015. "Time inconsistency and retirement choice," Economics Letters, Elsevier, vol. 129(C), pages 4-8.
  46. Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
  47. Barucci, Emilio & Biffis, Enrico & Marazzina, Daniele, 2023. "Health insurance, portfolio choice, and retirement incentives," European Journal of Operational Research, Elsevier, vol. 307(2), pages 910-921.
  48. Wang, Ling & Chen, Kexin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Optimal expansion of business opportunity," European Journal of Operational Research, Elsevier, vol. 309(1), pages 432-445.
  49. Lee, Ho-Seok & Lim, Byung Hwa, 2023. "Personal bankruptcy and post-bankruptcy liquidity constraint," Journal of Banking & Finance, Elsevier, vol. 152(C).
  50. Lin He & Zongxia Liang & Yilun Song & Qi Ye, 2021. "Optimal Retirement Time and Consumption with the Variation in Habitual Persistence," Papers 2103.16800, arXiv.org.
  51. Jeon, Junkee & Park, Kyunghyun, 2023. "Optimal job switching and retirement decision," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  52. Djehiche, Boualem & Gozzi, Fausto & Zanco, Giovanni & Zanella, Margherita, 2022. "Optimal portfolio choice with path dependent benchmarked labor income: A mean field model," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 48-85.
  53. Kwok, Kai Yin & Chiu, Mei Choi & Wong, Hoi Ying, 2016. "Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 353-366.
  54. Arjmandi, Nabi, 2023. "Optimal Portfolio Rebalancing with Sweep Under Transaction Cost," MPRA Paper 117162, University Library of Munich, Germany.
  55. Jang, Bong-Gyu & Lee, Ho-Seok, 2016. "Retirement with risk aversion change and borrowing constraints," Finance Research Letters, Elsevier, vol. 16(C), pages 112-124.
  56. Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
  57. Alain Bensoussan & Bong-Gyu Jang & Seyoung Park, 2016. "Unemployment Risks and Optimal Retirement in an Incomplete Market," Operations Research, INFORMS, vol. 64(4), pages 1015-1032, August.
  58. Choi, Sungsub & Kim, Sungjun & Shim, Gyoocheol, 2016. "Effect of lifetime uncertainty on consumption/investment with luxury bequest motives," Finance Research Letters, Elsevier, vol. 17(C), pages 275-279.
  59. Chen, An & Ferrari, Giorgio & Zhu, Shihao, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Center for Mathematical Economics Working Papers 684, Center for Mathematical Economics, Bielefeld University.
  60. Valentinas Rudys, 2023. "How does retirement affect optimal life cycle portfolio allocation between stocks and bonds?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 212-224, May.
  61. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
  62. Junkee Jeon & Hyeng Keun Koo & Yong Hyun Shin & Zhou Yang, 2021. "An Integral Equation Representation for Optimal Retirement Strategies in Portfolio Selection Problem," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 885-914, October.
  63. Kwak, Minsuk & Lim, Byung Hwa, 2014. "Optimal portfolio selection with life insurance under inflation risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 59-71.
  64. Caliendo, Frank N. & Findley, T. Scott, 2020. "Dynamic Consistency and Regret," Journal of Economic Behavior & Organization, Elsevier, vol. 173(C), pages 342-364.
  65. Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung, 2019. "Optimal consumption and investment with insurer default risk," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 44-56.
  66. Park, Seyoung, 2020. "Verification theorems for models of optimal consumption and investment with annuitization," Mathematical Social Sciences, Elsevier, vol. 103(C), pages 36-44.
  67. Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016. "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 587-633, August.
  68. Hyeng Keun Koo & Kum-Hwan Roh & Yong Hyun Shin, 2021. "Optimal consumption/investment and retirement with necessities and luxuries," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 281-317, October.
  69. Zongxia Liang & Fengyi Yuan, 2021. "Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions," Papers 2105.06607, arXiv.org, revised Jun 2023.
  70. Zongxia Liang & Fengyi Yuan, 2023. "Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 891-945, July.
  71. Chen, An & Pelsser, Antoon & Vellekoop, Michel, 2011. "Modeling non-monotone risk aversion using SAHARA utility functions," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2075-2092, September.
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