Choi, Kyoung Jin; Koo, Hyeng Keun - In: Mathematical Methods of Operations Research 61 (2005) 3, pp. 419-435
We study an optimal consumption-portfolio selection problem in which an economic agent is able to choose a discretionary stopping time in a continuous-time framework. We focus on studying the problem for the case where the agent’s preference changes around the stopping time. We obtain the...