Optimal investment, consumption and retirement decision with disutility and borrowing constraints
From MaRDI portal
Publication:4911231
DOI10.1080/14697680903369526zbMath1258.91203MaRDI QIDQ4911231
Publication date: 14 March 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903369526
consumption; portfolio selection; retirement; borrowing constraints; labor income; disutility; general utility function
91B16: Utility theory
91G50: Corporate finance (dividends, real options, etc.)
91G10: Portfolio theory
Related Items
Unnamed Item, The impact of a partial borrowing limit on financial decisions, A stochastic control model of investment, production, and consumption on a finite horizon, The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement, Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio, An optimal job, consumption/leisure, and investment policy, An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints, A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints, Household utility maximization with life insurance: a CES utility case, Time-inconsistent life-cycle consumption and retirement choice with mortality risk, Optimal investment, consumption and timing of annuity purchase under a preference change, An optimal consumption and investment problem with quadratic utility and negative wealth constraints, Borrowing constraints, effective flexibility in labor supply, and portfolio selection, A combined stochastic programming and optimal control approach to personal finance and pensions, Optimal consumption, leisure and job choice under inflationary environment, PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption-portfolio choices and retirement planning
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimization of consumption with labor income
- Labor income, borrowing constraints, and equilibrium asset prices
- Hedging in incomplete markets with HARA utility
- Optimal consumption and portfolio selection problem with downside consumption constraints
- A preference change and discretionary stopping in a consumption and portfolio selection problem
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- Portfolio optimization under the Value-at-Risk constraint
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Utility Maximization with Discretionary Stopping
- DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
