This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.
This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.
