An optimal time-management policy for labor supply and consumption decisions

DOI10.1007/S10100-014-0361-8MaRDI QIDQ2358162zbMATH OpenOpenAlexFDO

Authors Tatyana Chernonog, Eugene Khmelnitsky

Publication date 21 June 2017

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-014-0361-8

zbMATH Keywords

consumption and investment decisionssingular arcsstate-costate dynamicstime allocation policytransaction costs

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10)

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Cites work

• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• Capital accumulation and embodied technological progress
• Optimal consumption under deterministic income
• Optimal consumption, training, working time, and leisure over the life cycle
• Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
• Optimal flow control in manufacturing systems. Production planning and scheduling. Incl. 1 disk
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal investment, stochastic labor income and retirement
• Optimal portfolio selection for the small investor considering risk and transaction costs
• Partially observed time-inconsistency recursive optimization problem and application
• Portfolio optimization with linear and fixed transaction costs
• Portfolio Selection with Transaction Costs
• The perspective of a bank in granting credits: an optimization model
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs

Cited in

(1)

• On some unappreciated implications of Becker's time allocation model of labor supply.

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