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math.OC2021
Robust portfolio choice with sticky wages
Sara Biagini, Fausto Gozzi, Margherita Zanella
We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio ch…
math.OC2021
Wage Rigidity and Retirement in Optimal Portfolio Choice
Sara Biagini, Enrico Biffis, Fausto Gozzi +1
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve…