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

DOI10.1186/s13660-015-0841-yzbMath1414.91346OpenAlexW1911746841WikidataQ59428257 ScholiaQ59428257MaRDI QIDQ262572

Ho-Seok Lee, Yong Hyun Shin

Publication date: 30 March 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-015-0841-y

zbMATH Keywords

portfolio selectiondynamic programming methodCES utilityconsumption and leisurefree boundary value problemvoluntary retirement

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (2)

Unnamed Item ⋮ Household utility maximization with life insurance: a CES utility case

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment, stochastic labor income and retirement
• Voluntary retirement and portfolio selection: dynamic programming approaches
• Lifetime consumption and investment: retirement and constrained borrowing
• An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: dynamic programming approaches
• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

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