{"title":"Optimal retirement in presence of stochastic labor income: a free boundary approach in presence of an incomplete market","authors":"Daniele Marazzina","doi":"arxiv-2407.19190","DOIUrl":null,"url":null,"abstract":"In this note, we show how to solve an optimal retirement problem in presence\nof a stochastic wage dealing with a free boundary problem. In particular, we\nshow how to deal with an incomplete market case, where the wage cannot be fully\nhedged investing in the risk-free and the risky asset describing the financial\nmarket.","PeriodicalId":501045,"journal":{"name":"arXiv - QuantFin - Portfolio Management","volume":"49 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.19190","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In this note, we show how to solve an optimal retirement problem in presence
of a stochastic wage dealing with a free boundary problem. In particular, we
show how to deal with an incomplete market case, where the wage cannot be fully
hedged investing in the risk-free and the risky asset describing the financial
market.