risky and risk-free assets. We use a stochastic optimization technique, in which utility is maximized subject to a self … risk premium. The main contribution of our paper is that we drop the assumption of a constant consumption-wealth ratio. We …-financing portfolio, distinguishing risk neutral investors (flow) from high risk averse investors (high). We show that the model with …

gap with the additional income of the pension scheme, especially in the presence of late retirement and in the presence of …

This paper examines the retirement decision, optimal investment, and consumption strategies under an age … a random time horizon, featuring three state variables: wealth, labor income, and force of mortality. To address this … problem with interconnected dynamics. We establish the existence of an optimal retirement boundary that splits the state space …

The optimal retirement decision is essentially an optimal stopping problem when retirement is irreversible. We … investigate the optimal consumption, investment and retirement problem when the growth rate is unobservable and is estimated by … link the dual problem to an American option with stochastic volatility, and prove for the close of duality gap. The theory …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk …, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating … performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more …

One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension … controls reveals the effect of asymmetric preferences on the optimal investment and consumption during income drawdown. One …