Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach

DOI10.1111/1467-9965.00044zbMATH Open0911.90030OpenAlexW2038495840MaRDI QIDQ4213032FDOQ4213032

Authors: Hyeng Keun Koo 

Publication date: 5 May 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00044

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zbMATH Keywords

asset allocationoptimal consumptionportfolio selectionlabor incomeliquity constraintsuninsurable income risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Consumer behavior, demand theory (91B42)

Cited In (57)

• Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
• Human capital and portfolio choice: borrowing constraint and reversible retirement
• A two-person zero-sum game approach for a retirement decision with borrowing constraints
• Analytic approach for models of optimal retirement with disability risk
• Time consistent pension funding in a defined benefit pension plan with non-constant discounting
• Optimal consumption-portfolio choices and retirement planning
• Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Optimal consumption and investment with insurer default risk
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
• Optimal investment, stochastic labor income and retirement
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• A class of continuous-time portfolio selection with liability under jump-diffusion processes
• Maximizing the utility of consumption with commutable life annuities
• Research advances on optimal consumption and portfolio issue with labor income
• Optimal investment with time-varying stochastic endowments
• A closed-form solution for the continuous-time consumption model with endogenous labor income
• Risky asset allocation and consumption rule in the presence of background risk and insurance markets
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
• Generalization of the Divisia price and quantity indices in a stochastic model with continuous time
• Household utility maximization with life insurance: a CES utility case
• A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
• Moving costs, nondurable consumption and portfolio choice
• Annuitization and asset allocation
• An optimal time-management policy for labor supply and consumption decisions
• Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Lifetime investment and consumption using a defined-contribution pension scheme
• Unemployment risks and optimal retirement in an incomplete market
• Near-optimal asset allocation in financial markets with trading constraints
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
• Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Computational methods for incentive option valuation
• Optimal retirement with borrowing constraints and forced unemployment risk
• Continuous-time mean-variance portfolio selection with liability and regime switching
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Work effort, consumption, and portfolio selection: When the occupational choice matters
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
• Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
• An optimal consumption problem for general factor models
• Portfolio choice with illiquid asset for a loss-averse pension fund investor
• Optimal debt ratio and consumption strategies in financial crisis
• Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
• Minimizing the probability of lifetime ruin under borrowing constraints
• Valuation of contingent-claims characterising particular pension schemes
• Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
• Time preference and real investment
• A random parameter model for continuous-time mean-variance asset-liability management
• The impact of a partial borrowing limit on financial decisions
• The Markov consumption problem

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