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arXiv · 2108.09035

Sensitivity of Optimal Retirement Problem to Liquidity Constraints

Guodong Ding·Daniele Marazzina
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Abstract

In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption and leisure, through the duality method. We impose different liquidity constraints over different time spans and conduct a sensitivity analysis to discover the effect of this kind of constraint.

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Guodong Ding, Daniele Marazzina. 2021-08-20. Sensitivity of Optimal Retirement Problem to Liquidity Constraints. https://arxiv.org/abs/2108.09035

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