Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework

We deal with an agent who optimally decides the consumption-portfolio-leisure policy to maximize a power utility function, considering two optimal stopping times: bankruptcy and retirement from labor. Predetermining the order of these two stopping times, we find two independent multiple stopping tim...

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Bibliographic Details
Published in:Computational & applied mathematics 2024-02, Vol.43 (1), Article 53
Main Authors: Ding, Guodong, Marazzina, Daniele
Format: Article
Language:English
Subjects:
Applications of Mathematics
Bankruptcy
Computational Mathematics and Numerical Analysis
Mathematical Applications in Computer Science
Mathematical Applications in the Physical Sciences
Mathematics
Mathematics and Statistics
Optimization
Parameter sensitivity
Retirement
Sensitivity analysis
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Summary:We deal with an agent who optimally decides the consumption-portfolio-leisure policy to maximize a power utility function, considering two optimal stopping times: bankruptcy and retirement from labor. Predetermining the order of these two stopping times, we find two independent multiple stopping times models: the optimization problem of retirement before bankruptcy, and the one of bankruptcy before retirement. In the numerical results part, we perform the sensitivity analysis with respect to key parameters, and conduct a comparative analysis.
ISSN:2238-3603
1807-0302
DOI:10.1007/s40314-023-02566-6