Choi, Kyoung Jin; Koo, Hyeng Keun; Kwak, Do Young - In: Annals of Economics and Finance 5 (2004) 1, pp. 93-126
We study an investor¡¯s decision to switch from active portfolio management to passive management. This problem is mathematically modelled by a mixture of a consumption-portfolio selection problem and an optimal stopping problem. We assume that the investor has stochastic differential utility...