Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
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DOI: 10.1016/j.insmatheco.2016.10.002
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- Łukasz Delong, 2018. "Time-inconsistent stochastic optimal control problems in insurance and finance," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 229-254.
- Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
- Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2017.
"Retirement spending and biological age,"
Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 58-76.
- Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
- Chen Shou & Xiang Shengpeng & He Hongbo, 2019. "Do Time Preferences Matter in Intertemporal Consumption and Portfolio Decisions?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 19(2), pages 1-13, June.
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More about this item
Keywords
Hyperbolic discounting; Time-inconsistent optimization problem; Non-local HJB equation; Equilibrium strategies; PDE;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
- D9 - Microeconomics - - Micro-Based Behavioral Economics
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