An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: A dynamic programming approach

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:428

Article

Lee, Ho-Seok¹  Shin, Yong Hyun² 

[1] POSTECH, Res Inst Finance & Risk Management, Pohang 790784, South Korea

[2] Sookmyung Womens Univ, Dept Math, Seoul 140742, South Korea

关键词: Voluntary retirement;    Portfolio selection;    Subsistence consumption constraints;    CRRA utility;    Dynamic programming method;   

DOI  :  10.1016/j.jmaa.2015.03.025

来源: Elsevier

【 摘 要 】

In this paper, we investigate an optimal consumption/portfolio problem of an agent with voluntary retirement and subsistence consumption constraints before retirement. We assume that the agent's utility function of consumption is of CRRA type and the agent suffers a utility loss from labor before retirement. We use the dynamic programming method to obtain explicit forms of the optimal consumption/portfolio and retirement time. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free