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Optimal Consumption and Portfolio Selection with Early Retirement Option
16 references·2 citing·39 second hop
Optimal Consumption and Portfolio Selection with Early Retirement Option (2018)Optimal Consumption and Portfolio Selecti…Lifetime consumption and investment: Retirement and constrained borrowing (2009)Lifetime consumption and inve…Saving and investing for early retirement: A theoretical analysis☆ (2006)Saving and investing for earl…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION (2006)DISUTILITY, OPTIMAL RETIREMEN…Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)Optimal Portfolio Selection w…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…Stochastic Controls (1999)Stochastic ControlsMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Baby Boom, Population Aging, and Capital Markets (1994)Baby Boom, Population Aging, …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …On a Two-Sector Model of Economic Growth: Comments and a Generalization (1963)On a Two-Sector Model of Econ…On a Two-Sector Model of Economic Growth II (1963)On a Two-Sector Model of Econ…Robust retirement and life insurance with inflation risk and model ambiguity (2023)Robust retirement and life in…Optimal retirement and portfolio selection with consumption ratcheting (2020)Optimal retirement and portfo…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Efficient Capital Markets: II (1991)Demographic Structure and Asset Returns (2001)Ageing, Pension Reform and Capital Flows: A Multi‐Country Simulation Model (2006)Do Long-Term Investors Improve Corporate Decision Making? (2014)The Non-linear Accelerator and the Persistence of Business Cycles (1982)Why Has House Price Dispersion Gone Up? (2010)Does convergence really matter for the environment? An application based on club convergence and on the ecological footprint concept for the EU countries (2017)What Remains of Cross-Country Convergence? (2020)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)An Intertemporal Capital Asset Pricing Model (1973)Optimization Problems in the Theory of Continuous Trading (1989)Hedging in incomplete markets with HARA utility (1997)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1999Stochastic Controls1,243 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1994Baby Boom, Population Aging, and Capital Markets423 cited
  • 1963On a Two-Sector Model of Economic Growth: Comments and a Generalization401 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 2002Optimal Portfolio Selection with Transaction Costs and Finite Horizons277 cited
  • 2006Saving and investing for early retirement: A theoretical analysis☆262 cited
  • 2009Lifetime consumption and investment: Retirement and constrained borrowing250 cited
  • 1963On a Two-Sector Model of Economic Growth II244 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited

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2006
DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
124 cited

Cited by

  • 2023Robust retirement and life insurance with inflation risk and model ambiguity26 cited
  • 2020Optimal retirement and portfolio selection with consumption ratcheting25 cited