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 ]


  1. Hyeng Keun Koo (Ajou University)
  2. Zhou Yang (South China Normal University)
  3. Yong Hyun Shin (Sookmyung Women's University)

Topic Areas

Backward Stochastic Differential Equations , Optimal Investment , Optimal Stopping


MO-P-SY » Bubbles and Macro Models (14:30 - Monday, 16th July, Synge)

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