Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat - Institut de Recerca en Economia Aplicada (IREA), … - 2015
We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By...