This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one fol...This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.展开更多
基金supported by the National Natural Science Foundation of China(Grant No.12071373)by the Fundamental Research Funds for the Central Universities of China(Grant No.JBK1805001)+1 种基金The work of J.Xing was supported by the National Natural Science Foundation of China(Grant No.12101151)by the Guizhou Key Laboratory of Big Data Statistical Analysis(Grant No.[2019]5103).
文摘This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.
