Ding, Guodong; Marazzina, Daniele Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework. (English) Zbl 07803461 Comput. Appl. Math. 43, No. 1, Paper No. 53, 23 p. (2024). MSC: 91G10 91G15 PDFBibTeX XMLCite \textit{G. Ding} and \textit{D. Marazzina}, Comput. Appl. Math. 43, No. 1, Paper No. 53, 23 p. (2024; Zbl 07803461) Full Text: DOI OA License
Barucci, Emilio; Biffis, Enrico; Marazzina, Daniele Health insurance, portfolio choice, and retirement incentives. (English) Zbl 07706820 Eur. J. Oper. Res. 307, No. 2, 910-921 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{E. Barucci} et al., Eur. J. Oper. Res. 307, No. 2, 910--921 (2023; Zbl 07706820) Full Text: DOI
Jeon, Junkee; Park, Kyunghyun Optimal job switching and retirement decision. (English) Zbl 1511.91072 Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023). MSC: 91B39 60G40 93E20 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{K. Park}, Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023; Zbl 1511.91072) Full Text: DOI
Chen, Zheng; Li, Zhongfei; Zeng, Yan Portfolio choice with illiquid asset for a loss-averse pension fund investor. (English) Zbl 1507.91170 Insur. Math. Econ. 108, 60-83 (2023). MSC: 91G05 91G10 60G46 PDFBibTeX XMLCite \textit{Z. Chen} et al., Insur. Math. Econ. 108, 60--83 (2023; Zbl 1507.91170) Full Text: DOI
Choi, Kyoung Jin; Jeon, Junkee; Lee, Ho-Seok; Lin, Hsuan-Chih Optimal long-term contracts with disability insurance under limited commitment. (English) Zbl 1492.91281 Insur. Math. Econ. 104, 99-132 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91B41 PDFBibTeX XMLCite \textit{K. J. Choi} et al., Insur. Math. Econ. 104, 99--132 (2022; Zbl 1492.91281) Full Text: DOI
Jeon, Junkee; Koo, Hyeng Keun; Park, Kyunghyun Optimal finite horizon contract with limited commitment. (English) Zbl 1484.91246 Math. Financ. Econ. 16, No. 2, 267-315 (2022). MSC: 91B41 91B43 60G40 PDFBibTeX XMLCite \textit{J. Jeon} et al., Math. Financ. Econ. 16, No. 2, 267--315 (2022; Zbl 1484.91246) Full Text: DOI
Kamma, Thijs; Pelsser, Antoon Near-optimal asset allocation in financial markets with trading constraints. (English) Zbl 1487.91119 Eur. J. Oper. Res. 297, No. 2, 766-781 (2022). MSC: 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{T. Kamma} and \textit{A. Pelsser}, Eur. J. Oper. Res. 297, No. 2, 766--781 (2022; Zbl 1487.91119) Full Text: DOI
Davey, Ashley; Monoyios, Michael; Zheng, Harry Duality for optimal consumption with randomly terminating income. (English) Zbl 1521.91328 Math. Finance 31, No. 4, 1275-1314 (2021). MSC: 91G10 60G46 49N15 PDFBibTeX XMLCite \textit{A. Davey} et al., Math. Finance 31, No. 4, 1275--1314 (2021; Zbl 1521.91328) Full Text: DOI arXiv
Fu, Haoliang; Saleem, Muhammad Shoaib; Nazeer, Waqas; Ghafoor, Mamoona; Li, Peigen On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes. (English) Zbl 1484.26062 AIMS Math. 6, No. 6, 6322-6339 (2021). MSC: 26D15 26A51 60E15 60G17 PDFBibTeX XMLCite \textit{H. Fu} et al., AIMS Math. 6, No. 6, 6322--6339 (2021; Zbl 1484.26062) Full Text: DOI
Koo, Hyeng Keun; Roh, Kum-Hwan; Shin, Yong Hyun Optimal consumption/investment and retirement with necessities and luxuries. (English) Zbl 1482.91197 Math. Methods Oper. Res. 94, No. 2, 281-317 (2021). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{H. K. Koo} et al., Math. Methods Oper. Res. 94, No. 2, 281--317 (2021; Zbl 1482.91197) Full Text: DOI
Jeon, Junkee Finite horizon portfolio selection problems with stochastic borrowing constraints. (English) Zbl 1474.91177 J. Ind. Manag. Optim. 17, No. 2, 733-763 (2021). MSC: 91G10 60G44 60G40 PDFBibTeX XMLCite \textit{J. Jeon}, J. Ind. Manag. Optim. 17, No. 2, 733--763 (2021; Zbl 1474.91177) Full Text: DOI
Lim, Byung Hwa; Lee, Ho-Seok Household utility maximization with life insurance: a CES utility case. (English) Zbl 1461.91278 Japan J. Ind. Appl. Math. 38, No. 1, 271-295 (2021). MSC: 91G10 91G05 91B42 PDFBibTeX XMLCite \textit{B. H. Lim} and \textit{H.-S. Lee}, Japan J. Ind. Appl. Math. 38, No. 1, 271--295 (2021; Zbl 1461.91278) Full Text: DOI
Liu, Liya; Niu, Yingjie; Wang, Yuanping; Yang, Jinqiang Optimal consumption with time-inconsistent preferences. (English) Zbl 1452.91184 Econ. Theory 70, No. 3, 785-815 (2020). MSC: 91B42 91B08 PDFBibTeX XMLCite \textit{L. Liu} et al., Econ. Theory 70, No. 3, 785--815 (2020; Zbl 1452.91184) Full Text: DOI
Mostovyi, Oleksii; Sîrbu, Mihai Optimal investment and consumption with labor income in incomplete markets. (English) Zbl 1447.91162 Ann. Appl. Probab. 30, No. 2, 747-787 (2020). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{O. Mostovyi} and \textit{M. Sîrbu}, Ann. Appl. Probab. 30, No. 2, 747--787 (2020; Zbl 1447.91162) Full Text: DOI arXiv Euclid
Faidi, Wahid; Mezghanni, Hanen; Mnif, Mohamed Expected utility maximization problem under state constraints and model uncertainty. (English) Zbl 1442.91033 J. Optim. Theory Appl. 183, No. 3, 1123-1152 (2019). Reviewer: Karel Zimmermann (Praha) MSC: 91B16 91G10 91B70 60H10 35B50 PDFBibTeX XMLCite \textit{W. Faidi} et al., J. Optim. Theory Appl. 183, No. 3, 1123--1152 (2019; Zbl 1442.91033) Full Text: DOI
Lim, Byung Hwa; Kwak, Minsuk The impact of a partial borrowing limit on financial decisions. (English) Zbl 1420.91138 Quant. Finance 19, No. 5, 859-883 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{B. H. Lim} and \textit{M. Kwak}, Quant. Finance 19, No. 5, 859--883 (2019; Zbl 1420.91138) Full Text: DOI
Jeon, Junkee; Shin, Yong Hyun Finite horizon portfolio selection with a negative wealth constraint. (English) Zbl 1410.91420 J. Comput. Appl. Math. 356, 329-338 (2019). MSC: 91G10 44A15 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{Y. H. Shin}, J. Comput. Appl. Math. 356, 329--338 (2019; Zbl 1410.91420) Full Text: DOI
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun Borrowing constraints, effective flexibility in labor supply, and portfolio selection. (English) Zbl 1410.91318 Math. Financ. Econ. 13, No. 2, 173-208 (2019). MSC: 91B40 91G10 PDFBibTeX XMLCite \textit{H.-S. Lee} et al., Math. Financ. Econ. 13, No. 2, 173--208 (2019; Zbl 1410.91318) Full Text: DOI
Roh, Kum-Hwan An optimal consumption and investment problem with CES utility and negative wealth constraints. (English) Zbl 1426.91256 East Asian Math. J. 34, No. 3, 331-338 (2018). MSC: 91G10 49L20 60G44 PDFBibTeX XMLCite \textit{K.-H. Roh}, East Asian Math. J. 34, No. 3, 331--338 (2018; Zbl 1426.91256) Full Text: DOI
Pedersen, J. L.; Peskir, G. Constrained dynamic optimality and binomial terminal wealth. (English) Zbl 1384.60088 SIAM J. Control Optim. 56, No. 2, 1342-1357 (2018). MSC: 60H30 60J65 91G80 93E20 PDFBibTeX XMLCite \textit{J. L. Pedersen} and \textit{G. Peskir}, SIAM J. Control Optim. 56, No. 2, 1342--1357 (2018; Zbl 1384.60088) Full Text: DOI
Chen, An; Vellekoop, Michel Optimal investment and consumption when allowing terminal debt. (English) Zbl 1380.91144 Eur. J. Oper. Res. 258, No. 1, 385-397 (2017). MSC: 91G80 93E20 PDFBibTeX XMLCite \textit{A. Chen} and \textit{M. Vellekoop}, Eur. J. Oper. Res. 258, No. 1, 385--397 (2017; Zbl 1380.91144) Full Text: DOI Link
Lee, Ho-Seok; Koo, Byung Lim; Shin, Yong Hyun A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints. (English) Zbl 1386.91128 Japan J. Ind. Appl. Math. 34, No. 3, 793-809 (2017). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H.-S. Lee} et al., Japan J. Ind. Appl. Math. 34, No. 3, 793--809 (2017; Zbl 1386.91128) Full Text: DOI
Zeng, Xudong; Carson, James M.; Chen, Qihong; Wang, Yuling Optimal life insurance with no-borrowing constraints: duality approach and example. (English) Zbl 1401.91211 Scand. Actuar. J. 2016, No. 9, 793-816 (2016). MSC: 91B30 91G10 60G48 PDFBibTeX XMLCite \textit{X. Zeng} et al., Scand. Actuar. J. 2016, No. 9, 793--816 (2016; Zbl 1401.91211) Full Text: DOI
Miao, Jianjun; Zhang, Yuzhe A duality approach to continuous-time contracting problems with limited commitment. (English) Zbl 1330.91116 J. Econ. Theory 159, Part B, 929-988 (2015). MSC: 91B40 49L20 49N15 93E20 PDFBibTeX XMLCite \textit{J. Miao} and \textit{Y. Zhang}, J. Econ. Theory 159, Part B, 929--988 (2015; Zbl 1330.91116) Full Text: DOI
Liang, Xiaoqing; Peng, Xiaofan; Guo, Junyi Optimal investment, consumption and timing of annuity purchase under a preference change. (English) Zbl 1308.91090 J. Math. Anal. Appl. 413, No. 2, 905-938 (2014). MSC: 91B30 60G40 PDFBibTeX XMLCite \textit{X. Liang} et al., J. Math. Anal. Appl. 413, No. 2, 905--938 (2014; Zbl 1308.91090) Full Text: DOI
Wang, Ting; Young, Virginia R. Maximizing the utility of consumption with commutable life annuities. (English) Zbl 1284.91275 Insur. Math. Econ. 51, No. 2, 352-369 (2012). MSC: 91B30 PDFBibTeX XMLCite \textit{T. Wang} and \textit{V. R. Young}, Insur. Math. Econ. 51, No. 2, 352--369 (2012; Zbl 1284.91275) Full Text: DOI
Barucci, Emilio; Marazzina, Daniele Optimal investment, stochastic labor income and retirement. (English) Zbl 1239.91086 Appl. Math. Comput. 218, No. 9, 5588-5604 (2012); corrigendum ibid. 218, No. 11, 6627 (2012). MSC: 91B40 91B38 91G10 PDFBibTeX XMLCite \textit{E. Barucci} and \textit{D. Marazzina}, Appl. Math. Comput. 218, No. 9, 5588--5604 (2012; Zbl 1239.91086) Full Text: DOI
Lim, Byung Hwa; Shin, Yong Hyun Optimal investment, consumption and retirement decision with disutility and borrowing constraints. (English) Zbl 1258.91203 Quant. Finance 11, No. 10, 1581-1592 (2011). MSC: 91G10 91G50 91B16 PDFBibTeX XMLCite \textit{B. H. Lim} and \textit{Y. H. Shin}, Quant. Finance 11, No. 10, 1581--1592 (2011; Zbl 1258.91203) Full Text: DOI
Dybvig, Philip H.; Liu, Hong Lifetime consumption and investment: retirement and constrained borrowing. (English) Zbl 1245.91044 J. Econ. Theory 145, No. 3, 885-907 (2010). MSC: 91B30 91G80 PDFBibTeX XMLCite \textit{P. H. Dybvig} and \textit{H. Liu}, J. Econ. Theory 145, No. 3, 885--907 (2010; Zbl 1245.91044) Full Text: DOI
Elie, Romuald; Touzi, Nizar Optimal lifetime consumption and investment under a drawdown constraint. (English) Zbl 1164.91011 Finance Stoch. 12, No. 3, 299-330 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 35K55 60H30 PDFBibTeX XMLCite \textit{R. Elie} and \textit{N. Touzi}, Finance Stoch. 12, No. 3, 299--330 (2008; Zbl 1164.91011) Full Text: DOI Link
Schroder, Mark; Skiadas, Costis Optimality and state pricing in constrained financial markets with recursive utility under continuous and discontinuous information. (English) Zbl 1133.91363 Math. Finance 18, No. 2, 199-238 (2008). MSC: 91B16 91B24 91B28 91B26 PDFBibTeX XMLCite \textit{M. Schroder} and \textit{C. Skiadas}, Math. Finance 18, No. 2, 199--238 (2008; Zbl 1133.91363) Full Text: DOI
Soumaré, Issouf Equlibrium with excessive holdings constraint: an application to DC pension plans. (English) Zbl 1156.91383 Int. J. Theor. Appl. Finance 10, No. 7, 1159-1190 (2007). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{I. Soumaré}, Int. J. Theor. Appl. Finance 10, No. 7, 1159--1190 (2007; Zbl 1156.91383) Full Text: DOI
Leippold, Markus; Trojani, Fabio; Vanini, Paolo A geometric approach to multiperiod mean variance optimization of assets and liabilities. (English) Zbl 1179.91234 J. Econ. Dyn. Control 28, No. 6, 1079-1113 (2004). MSC: 91G10 91G50 90C39 PDFBibTeX XMLCite \textit{M. Leippold} et al., J. Econ. Dyn. Control 28, No. 6, 1079--1113 (2004; Zbl 1179.91234) Full Text: DOI
Lioui, Abraham; Poncet, Patrice Dynamic asset pricing with non-redundant forwards. (English) Zbl 1178.91065 J. Econ. Dyn. Control 27, No. 7, 1163-1180 (2003). MSC: 91B25 91G10 91B30 PDFBibTeX XMLCite \textit{A. Lioui} and \textit{P. Poncet}, J. Econ. Dyn. Control 27, No. 7, 1163--1180 (2003; Zbl 1178.91065) Full Text: DOI
Henderson, Vicky Valuation of claims on nontraded assets using utility maximization. (English) Zbl 1049.91072 Math. Finance 12, No. 4, 351-373 (2002). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{V. Henderson}, Math. Finance 12, No. 4, 351--373 (2002; Zbl 1049.91072) Full Text: DOI
von Thadden, Ernst-Ludwig An incentive problem in the dynamic theory of banking. (English) Zbl 1033.91017 J. Math. Econ. 38, No. 1-2, 271-292 (2002). MSC: 91B28 91B62 90C39 PDFBibTeX XMLCite \textit{E.-L. von Thadden}, J. Math. Econ. 38, No. 1--2, 271--292 (2002; Zbl 1033.91017) Full Text: DOI
Mnif, Mohammed; Pham, Huyên Stochastic optimization under constraints. (English) Zbl 1070.93050 Stochastic Processes Appl. 93, No. 1, 149-180 (2001). Reviewer: Jitka Dupačová (Praha) MSC: 93E20 91G80 91B16 91B30 PDFBibTeX XMLCite \textit{M. Mnif} and \textit{H. Pham}, Stochastic Processes Appl. 93, No. 1, 149--180 (2001; Zbl 1070.93050) Full Text: DOI
Munk, C. Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints. (English) Zbl 0951.90052 J. Econ. Dyn. Control 24, No. 9, 1315-1343 (2000). MSC: 90C40 91B70 91G10 PDFBibTeX XMLCite \textit{C. Munk}, J. Econ. Dyn. Control 24, No. 9, 1315--1343 (2000; Zbl 0951.90052) Full Text: DOI
Yang, Yunhong Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. (English) Zbl 1058.91551 J. Math. Econ. 33, No. 2, 135-153 (2000). MSC: 91B28 PDFBibTeX XMLCite \textit{Y. Yang}, J. Math. Econ. 33, No. 2, 135--153 (2000; Zbl 1058.91551) Full Text: DOI
Cuoco, Domenico; Cvitanić, Jakša Optimal consumption choices for a ‘large’ investor. (English) Zbl 0902.90031 J. Econ. Dyn. Control 22, No. 3, 401-436 (1998). MSC: 91B42 91B62 PDFBibTeX XMLCite \textit{D. Cuoco} and \textit{J. Cvitanić}, J. Econ. Dyn. Control 22, No. 3, 401--436 (1998; Zbl 0902.90031) Full Text: DOI
Vila, Jean-Luc; Zariphopoulou, Thaleia Optimal consumption and portfolio choice with borrowing constraints. (English) Zbl 0897.90078 J. Econ. Theory 77, No. 2, 402-431 (1998). MSC: 91B42 91B62 93E20 49L20 PDFBibTeX XMLCite \textit{J.-L. Vila} and \textit{T. Zariphopoulou}, J. Econ. Theory 77, No. 2, 402--431 (1998; Zbl 0897.90078) Full Text: DOI Link
Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia Hedging in incomplete markets with HARA utility. (English) Zbl 0899.90026 J. Econ. Dyn. Control 21, No. 4-5, 753-782 (1997). MSC: 91G10 49L25 PDFBibTeX XMLCite \textit{D. Duffie} et al., J. Econ. Dyn. Control 21, No. 4--5, 753--782 (1997; Zbl 0899.90026) Full Text: DOI
Hajivassiliou, Vassilis A.; Ioannides, Yannis M. Duality and liquidity constraints under uncertainty. (English) Zbl 0875.90143 J. Econ. Dyn. Control 20, No. 6-7, 1177-1192 (1996). MSC: 91B62 90C39 PDFBibTeX XMLCite \textit{V. A. Hajivassiliou} and \textit{Y. M. Ioannides}, J. Econ. Dyn. Control 20, No. 6--7, 1177--1192 (1996; Zbl 0875.90143) Full Text: DOI
Hindy, Ayman Viable prices in financial markets with solvency constraints. (English) Zbl 0827.90008 J. Math. Econ. 24, No. 2, 105-135 (1995). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Hindy}, J. Math. Econ. 24, No. 2, 105--135 (1995; Zbl 0827.90008) Full Text: DOI