Fei Weiyin, Chen Chao, Liang Yong. Optimal Consumption-Portfolio and Retirement Problem with Disutility under Knightian Uncertainty[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(1): 53-63.
Citation: Fei Weiyin, Chen Chao, Liang Yong. Optimal Consumption-Portfolio and Retirement Problem with Disutility under Knightian Uncertainty[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(1): 53-63.

Optimal Consumption-Portfolio and Retirement Problem with Disutility under Knightian Uncertainty

  • 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.
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