On Optimal Retirement (How to Retire Early)

Philip Ernst, Dean Foster and Larry Shepp

Papers from arXiv.org

Abstract: We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$ in the market. We need a fortune of $M$ "superdollars" to retire and want to retire as early as possible. We model our change in net worth over each infinitesimal time interval by the Ito process $dX(t)= (1+f(X(t))dt+ f(X(t))dW(t)$. We show how to choose the optimal $f=f_0$ and show that the choice of $f_0$ is optimal among all nonanticipative investment strategies, not just among Markovian ones.

Date: 2016-05
New Economics Papers: this item is included in nep-age and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Applied Probability (2014), 51(2): 333-345

Downloads: (external link)
http://arxiv.org/pdf/1605.01028 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1605.01028

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().