Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio

DOI10.1007/S13160-023-00609-3MaRDI QIDQ6179929zbMATH OpenFDO

Authors Seryoong Ahn, Ji-Hun Yoon

Publication date 18 January 2024

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13160-023-00609-3

zbMATH Keywords

dynamic programminghousing choicehousing serviceloan-to-value ratiomortgage interest rateoptimal stopping

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

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Cites work

• An optimal consumption model with stochastic volatility
• An optimal portfolio model with stochastic volatility and stochastic interest rate
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
• Effects of a government subsidy and labor flexibility on portfolio selection and retirement
• Household Risk Management and Optimal Mortgage Choice
• On optimal portfolio choice under stochastic interest rates
• Optimal consumption and portfolio selection with early retirement option
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Optimal loan-to-value ratio and the efficiency gains of default
• Reversible job-switching opportunities and portfolio selection

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