We study an optimal consumption, investment, life insurance, and retirement decision of an economic agent who has an … option to retire early any time before the mandatory retirement date. We conduct a thorough theoretical analysis for the … optimal retirement problem with general utility function in the presence of mandatory retirement date, which leads to the …

In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian …-tested Age Pension. We account for mortality risk and risky investment assets, and introduce a health proxy to capture the … decreasing level of consumption for older retirees. Then we find optimal housing at retirement, and optimal consumption and …

Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current … static retirement glidepath would be the one that performs better than all others with respect to some metric. When … systematic withdrawals are made from a retirement portfolio, glidepaths are often assessed via the probability of ruin (or …

We develop an analytically tractable model of optimal financing policies for a risk averse decision maker who is … exposed to climate risk causing a significant disruption to capital stock accumulation. We quantitatively identify certain … in the decision maker's optimal financing strategies occurs even when the possibility of climate risk is very slim …

income in a complete market, we exhibit a solution to our intertemporal stochastic control problem where each generation … receives a fair (lumpsum) retirement benefit: it is proportional to the contributions she has paid during her active worklife … retirement time). We next relax the assumption that the collective pension system is mandatory and investigate the performance of …

significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the … newly established compulsory pension system. This paper is concerned with the risk embedded in the portfolio strategies of … manager in the long-term risk assessment of its investment strategy, where the latter is conducted from the point of view of …

retirement and constrained borrowing against future labor income. In particular, a linear consumption rule in financial wealth … and savings for retirement is captured by the generalized PIH rule. Finally, I find that an individual's aggressive risk …I study optimal consumption and investment for retirement in an economic environment where an individual has retirement …

This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in … allocation decision for retirement, and show that illiquidity reduces the range of transferable shocks between generations and … thus lowers the benefits of risk-sharing. Higher illiquidity then may justify higher levels of risk sharing to compensate …

ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We … risk channel arising from fluctuations in the fund's endowment. We use our calibrated model to study the implications of a …