Optimal Portfolio Choice for Early Retirement with Cointegration between the Stock and Labor Markets


We present an optimal portfolio choice for retiring early when a borrowing and short sale constrained investor is facing cointegration between the stock and labor markets. There exists a target wealth-to-income ratio under... [ view full abstract ]


  1. Min Dai (National University of Singapore)
  2. Shan Huang (National University of Singapore)
  3. Seyoung Park (Loughborough University)

Topic Area

Asset Allocation


TU-P-B1 » Optimal Control and Optimal Investment 1 (14:30 - Tuesday, 17th July, Beckett 1 )

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