  In this study we propose a unified model of optimal retirement, consumption
and portfolio choice of an individual agent, which encompasses a large class of
the models in the literature and provide a general methodology to solve the
model. Different from the traditional approach, we consider the problems before
and after retirement simultaneously and identify the difference in the dual
value functions as the utility value of lifetime labor. The utility value has
an option nature, namely, it is the maximized value of choosing the retirement
time optimally and we discover it by solving a variational inequality. Then, we
discover the dual value functions by using the utility value. We discover the
value function and optimal policies by establishing a duality between the value
function and the dual value function.

Optimization and Control