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math.OC2021
A Unified Approach to Retirement and Consumption-Portfolio Choice
Junkee Jeon, Hyeng Keun Koo
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the litera…
math.OC2021
A problem of optimal switching and singular control with discretionary stopping in portfolio selection
Junkee Jeon, Hyeng Keun Koo
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is const…