Reversible Job-Switching Opportunities and Portfolio Selection

Shim, Gyoocheol; Koo, Jung Lim; Shin, Yong Hyun

doi:10.1007/s00245-016-9371-3

Cited by 11 publications

(13 citation statements)

References 17 publications

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“…There are two main differences between the model in Shim et al. ( 2018 ) and our model. First, Shim et al.…”

Section: Introductionmentioning

confidence: 83%

“…In contrast, in job-switching models, such as those proposed by Shim and Shin ( 2014 ), Shim et al. ( 2018 ), and Lee et al. ( 2019 ), an agent can switch jobs based on their wealth levels.…”

Section: Introductionmentioning

confidence: 99%

“…In this work, we employ a model similar to the one used in Shim et al. ( 2018 ). The model in Shim et al.…”

Section: Introductionmentioning

confidence: 99%

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The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement

Kim

Shin

2023

Comp. Appl. Math.

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In this paper, we explore an optimization problem in which a working agent with an option to retire wants to maximize her expected lifetime utility. The agent receives labor (or annuity) income before/after retirement and experiences dis-utility due to labor. Additionally, the agent can partially borrow against her future income before/after retirement. We demonstrate that when pre-retirement borrowing constraints are strict, the agent retires early, while strong post-retirement borrowing constraints result in a late retirement. Our numerical results reveal that the retirement threshold level changes with varying interest rates, with an increase in interest rates leading to a general decrease in the retirement threshold level. However, in certain cases with borrowing constraints, the declining effects of pre-/post-retirement discounted income strongly influence the retirement decision as the interest rate increases. Additionally, our findings indicate that the impact of the volatility of the risky asset and the interest rate on the retirement wealth level varies. Specifically, at low interest rates, higher volatility is associated with an increased retirement wealth level, while at high interest rates, lower volatility results in a marginal increase in the retirement wealth level. These findings suggest a diminishing influence of volatility on the retirement wealth level as interest rates rise.

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“…There are two main differences between the model in Shim et al. ( 2018 ) and our model. First, Shim et al.…”

Section: Introductionmentioning

confidence: 83%

Section: Introductionmentioning

confidence: 99%

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The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement

Kim

Shin

2023

Comp. Appl. Math.

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“…As the average life span and flexibility in the job market increase, there exist higher chances that people change their jobs, being motivated by the consideration of leisure and job satisfaction than that of higher salaries (Shim et al (2018)). Thus, a job which promises more leisure time but with a lower salary can be a substitute for retirement.…”

Section: Introductionmentioning

confidence: 99%

A problem of optimal switching and singular control with discretionary stopping in portfolio selection

Jeon

Koo

2021

Preprint

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In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We transform the problem into a dual two-person zero-sum game, which involves a controller, who is a minimizer and chooses a non-increasing process, and a stopper, who is a maximizer and chooses a stopping time. We derive the Hamilton-Jacobi-Bellman quasi-variational inequality(HJBQV) of a max-min type arising from the game. We provide a solution to the HJBQV and verification that it is the value of the game. We establish a duality result which allows to derive the optimal strategies and value function of the primal problem from those of the dual problem.

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“…Szabó et al [64] utilized a stochastic optimal switching model for describing trading problems in finance. Some models are exactly-solvable and their solution structures have been analysed in detail [65,66]. El Asri and Mazid [67] analysed well-posedness of stochastic differential games between two players both having switching controls.…”

Section: Introductionmentioning

confidence: 99%

Stochastic optimal switching model for migrating population dynamics

Yoshioka

Tanaka

Aranishi

et al. 2019

Journal of Biological Dynamics

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An optimal switching control formalism combined with the stochastic dynamic programming is, for the first time, applied to modelling life cycle of migrating population dynamics with non-overlapping generations. The migration behaviour between habitats is efficiently described as impulsive switching based on stochastic differential equations, which is a new standpoint for modelling the biological phenomenon. The population dynamics is assumed to occur so that the reproductive success is maximized under an expectation. Finding the optimal migration strategy ultimately reduces to solving an optimality equation of the quasi-variational type. We show an effective linkage between our optimality equation and the basic reproduction number. Our model is applied to numerical computation of optimal migration strategy and basic reproduction number of an amphidromous fish Plecoglossus altivelis altivelis in Japan as a target species.

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Reversible Job-Switching Opportunities and Portfolio Selection

Cited by 11 publications

References 17 publications

The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement

The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement

A problem of optimal switching and singular control with discretionary stopping in portfolio selection

Stochastic optimal switching model for migrating population dynamics

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