Optimal Retirement in a General Market Environment

We study optimal retirement, consumption/portfolio selection problem of an agent in a non-Markovian environment. We show that under a suitable condition the optimal retirement decision is to retire when the individual's wealth... [ view full abstract ]

We study optimal retirement, consumption/portfolio selection problem

of an agent in a non-Markovian environment. We show that under a

suitable condition the optimal retirement decision is to retire when

the individual's wealth reaches a threshold level. We express the

value and the optimal strategy by using the strong solution of the

backward stochastic partial differential variational

inequality (BSPDVI) associated with the dual problem. We derive

properties of the value function and the optimal strategy by

analyzing the strong solution and the free boundary of the BSPDVI.