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arXiv · 2407.19190

Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market

Daniele Marazzina
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Abstract

In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through investments in the risk-free and risky assets that characterize the financial market.

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Daniele Marazzina. 2025-03-01. Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market. https://arxiv.org/abs/2407.19190

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