This paper studies an agent's
consumption-portfolio and retirement problem, in which the Knightian
uncertainty and utility loss from labor are considered. The labor
behavior brings an agent's utility loss, while the Knightian
uncertainty influences the decision-making behavior of an agent. The
agent has a retirement option. By retirement, she avoids the utility
loss but gives up labor income. Using the dynamic programming method
to solve a free boundary value problem, we obtain an explicit
solution for the agent's optimal consumption and portfolio
strategy.
ͨѶ����:
����
����:
��Ϊ��,�³�,����. Knight��ȷ���¿��Ǹ�Ч�õ����Ѻ�Ͷ�������о�[J]. Ӧ�ø���ͳ��, 2013, 29(1): 53-63.
Fei Weiyin,Chen Chao,Liang Yong. Optimal Consumption-Portfolio and Retirement Problem with Disutility under Knightian Uncertainty. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2013, 29(1): 53-63.