An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach

Journal of inequalities and applications

Ho-Seok Lee¹ 

关键词: consumption and leisure;    portfolio selection;    voluntary retirement;    CES utility;    dynamic programming method;    free boundary value problem;    91G10;    91G80;   

DOI  :  10.1186/s13660-015-0841-y

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In this paper, we study an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility function. Using the dynamic programming method, we obtain the value function and optimal investment, consumption, leisure, and retirement strategies in analytic form. Numerically we observe that the threshold retirement wealth level is an increasing function with respect to the elasticity of substitution.

【 授权许可】

CC BY