随机劳动收入条件下的最优退休：不完全市场条件下的自由边界法

arXiv - QuantFin - Portfolio Management Pub Date : 2024-07-27 DOI:arxiv-2407.19190

Daniele Marazzina

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引用次数: 0

摘要

在本论文中，我们展示了如何解决随机工资下的最优退休问题，以及如何处理自由边界问题。特别是，我们展示了如何处理不完全市场情况，即工资不能完全对冲投资于金融市场的无风险资产和风险资产。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal retirement in presence of stochastic labor income: a free boundary approach in presence of an incomplete market

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.

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arXiv - QuantFin - Portfolio Management

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