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We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio choice with path dependent labor income: the infinite horizon case", SIAM Journal on Control and Optimization, 58(4), 1906-1938.) and Dybvig and Liu ("Lifetime consumption and investment: retirement and constrained borrowing", Journal of Economic Theory, 145, pp.
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Biffis, E., Gozzi F., Prosdocimi C (2020). Optimal portfolio choice with path dependent labor income: the infinite horizon case. SIAM Journal on Control and Optimization, 58(4), 1906-1938
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Bensoussan, A., Da Prato, G., Delfour, M.C., and Mitter, S.K. (2007) Representation and Control of Infinite Dimensional Systems , Second Edition, Birkhauser
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Dybvig, P.H. and Liu, H. (2010). Lifetime consumption and investment: retirement and constrained borrowing . Journal of Economic Theory
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Dybvig, P.H. and Liu, H. (2010). Lifetime consumption and investment: retirement and constrained borrowing . Journal of Economic Theory
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Fabbri, G. Gozzi, F. and Swiech, A. (2017). Stochastic Optimal Control in Infinite Dimensions: Dynamic Programming and HJB Equations . Probability Theory and Stochastich Modelling, vol 82, Springer
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A. Cosso, S. Federico, F. Gozzi, M. Rosestolato and N. Touzi. Path-dependent equations and viscosity solutions in infinite dimension. Annals of Probability Volume 46, Issue 1 (2018), Pages 126-174
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A. Neufeld, M. Nutz (2018). Robust Utility Maximization with Lévy Processes . Mathematical Finance, Vol. 28, No. 1, pp. 82-105
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Mehri, Sima; Scheutzow, Michael (2021). A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise . Latin American Journal of Probability and Mathematical Statistics. 18: 193-209
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Djeiche, B. Gozzi, F. Zanco, G. and Zanella, M. (2022). Optimal portfolio choice with path dependent benchmarked labor income: a mean field model . Stochastic Processes and Applications
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Closest in time.