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Verification theorems for models of optimal consumption and investment with annuitization
journal contribution
posted on 2019-11-27, 11:59 authored by Seyoung ParkOne can find it challenging to deal with verification theorems for optimal consumption and investment problems with annuitization. I pose a tractable framework to prove verification theorems for the problems. I revisit an annuitization model of Park (2015) and prove the verification theorem for the model. A key idea of the proof is the application of the variational inequality approach of Bensoussan and Lions (1982) to the annuitization problem solved by the suggested value function. Further, I obtain analytic comparative statics for the optimal consumption and investment strategies with annuitization.
History
School
- Business and Economics
Department
- Business
Published in
Mathematical Social SciencesVolume
103Pages
36 - 44Publisher
Elsevier BVVersion
- AM (Accepted Manuscript)
Rights holder
© Elsevier B.V.Publisher statement
This paper was accepted for publication in the journal Mathematical Social Sciences and the definitive published version is available at https://doi.org/10.1016/j.mathsocsci.2019.11.002.Acceptance date
2019-11-04Publication date
2019-11-08Copyright date
2019ISSN
0165-4896Publisher version
Language
- en