Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
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DOI: 10.1016/j.insmatheco.2021.10.004
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- Li, Xun & Yu, Xiang & Zhang, Qinyi, 2023. "Optimal consumption and life insurance under shortfall aversion and a drawdown constraint," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 25-45.
- Qiu, Ming & Jin, Zhuo & Li, Shuanming, 2023. "Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 1-23.
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More about this item
Keywords
Optimal retirement time; Retirement consumption puzzle; Habitual persistence; Optimal consumption; Martingale and duality methods;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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