ScholarWorks@숙명여자대학교

초록

This study aimed to tackle an issue that closely reflected reality by integrating both inflation risk management and job-switching opportunities into an optimal retirement problem. Specifically, individuals can invest in three financial assets, including a money market account, an inflation-linked index bond, and a risky asset. They can also determine the optimal time of retirement and have the flexibility to switch jobs between two job states at any time before retirement, noting that individuals earn a meager income upon retiring. To resolve this problem, we provided closed-form solutions for optimal policies by using the martingale approach and variational inequality method. We additionally provided a comparison analysis between our model and two other benchmark problems, respectively. We concluded that managing inflation risk can increase the retirement boundary, but decrease the job-switching boundary. Moreover, the feature of job-switching opportunities can also increase the retirement boundary. Finally, we examined how the inflation risk affected the optimal strategies.

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