OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION FOR RETIREES WITH THE GUARANTEE OF MINIMUM WELFARE

被引：0
|
作者：
Lin, Zhenmei [1 ]
Lai, Shaoyong [1 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Math, Chengdu 611130, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 11期
关键词：
Optimal consumption; optimal investment; exogenous shock; the guarantee of minimum welfare; LIFE-INSURANCE PURCHASE; POST-RETIREMENT; INVESTMENT; UNCERTAINTY;
D O I：
10.3934/jimo.2023023
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
The optimal consumption and portfolio selection for retirees who participate in a defined benefit pension plan are investigated. The retiree is unable to get full pension if exogenous shock exists. In this case, we assume that government provides the retiree with the guarantee of minimum welfare. Using the dynamic programming principle, we discuss the properties of optimal consumption and investment strategies. Numerical examples are provided to illustrate the effects of guarantee of minimum welfare and other factors on the optimal strategies. We find that the guarantee of minimum welfare has various effects on optimal consumption and investment for the retiree.
引用
收藏
页码：7849 / 7860
页数：12
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