Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints

DOI10.1016/J.JMAA.2008.04.011zbMATH Open1175.91162OpenAlexW1991750093MaRDI QIDQ930981FDOQ930981

U. Jin Choi, Byung Hwa Lim, Yong Hyun Shin

Publication date: 24 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.04.011

zbMATH Keywords

portfolio selectionutility maximizationconsumptionretirementlabor incomedisutilitysubsistence consumption constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

Cites Work

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• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
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• Optimal consumption and portfolio selection problem with downside consumption constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Stochastic Target Hitting Time and the Problem of Early Retirement
• Utility Maximization with Discretionary Stopping
• Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
• Optimal consumption-portfolio choices and retirement planning
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Cited In (19)

• Portfolio-consumption choice problem with voluntary retirement and consumption constraints
• An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
• An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
• Optimal investment, stochastic labor income and retirement
• Optimal portfolio, consumption and retirement decision under a preference change
• Portfolio selection with subsistence consumption constraints and CARA utility
• AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
• How to spend and invest retirement savings
• Optimal consumption, investment and housing with means-tested public pension in retirement
• Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework
• An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
• Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
• Optimal investment, consumption and timing of annuity purchase under a preference change
• Comparison of optimal portfolios with and without subsistence consumption constraints
• Title not available (Why is that?)
• Optimal retirement time under habit persistence: what makes individuals retire early?
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• Title not available (Why is that?)
• Optimal investment, consumption-leisure, insurance and retirement choice

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