Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866910852636999680 |
|---|---|
| author | Marazzina, Daniele |
| author_facet | Marazzina, Daniele |
| contents | In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through investments in the risk-free and risky assets that characterize the financial market. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_19190 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market Marazzina, Daniele Mathematical Finance Optimization and Control Portfolio Management In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through investments in the risk-free and risky assets that characterize the financial market. |
| title | Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market |
| topic | Mathematical Finance Optimization and Control Portfolio Management |
| url | https://arxiv.org/abs/2407.19190 |