Consumption and portfolio selection with labor income: A discrete-time approach

DOI10.1007/S001860050096MaRDI QIDQ1809497zbMATHOpenAlexFDO

Authors Hyeng Keun Koo

Publication date 2 May 2001

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860050096

zbMATH Keywords

nonlinear optimizationliquidity constraintsportfolio selectionconsumptionuninsurable risk

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10) Economic growth models (91B62)

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Cited in

(12)

• Optimal risk taking with flexible income
• A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
• Moving costs, nondurable consumption and portfolio choice
• Research advances on optimal consumption and portfolio issue with labor income
• Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations
• Labor income, borrowing constraints, and equilibrium asset prices
• A closed-form solution for the continuous-time consumption model with endogenous labor income
• Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
• Optimal consumption and savings with stochastic income and recursive utility
• Taylor series approximations to expected utility and optimal portfolio choice
• Retirement saving with contribution payments and labor income as a benchmark for investments
• Work effort, consumption, and portfolio selection: When the occupational choice matters

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