Optimal consumption/investment and retirement with necessities and luxuries

DOI10.1007/s00186-021-00758-6zbMath1482.91197OpenAlexW3208491788MaRDI QIDQ2067260

Yong Hyun Shin, Kum-Hwan Roh, Hyeng Keun Koo

Publication date: 18 January 2022

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

Full work available at URL: https://doi.org/10.1007/s00186-021-00758-6

zbMATH Keywords

martingale methodsportfolio selectionvoluntary retirementluxuriesnecessities

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Lifetime consumption and investment: retirement and constrained borrowing
• Labor income, borrowing constraints, and equilibrium asset prices
• Dynamic asset allocation when bequests are luxury goods
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Valuation of Investments in Real Assets with Implications for the Stock Prices
• Utility Maximization with Discretionary Stopping
• AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
• Optimal Consumption and Portfolio Selection with Early Retirement Option
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION