An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints

We study an optimal investment, consumption-leisure and voluntary retirement problem for an agent whose consumption rate process is subject to a subsistence constraint before retirement. We use the dynamic programming method to obtain closed-form solutions for the optimal strategies as well as the v...

Full description

Saved in:
Bibliographic Details
Published in:Japan journal of industrial and applied mathematics Vol. 33; no. 2; pp. 297 - 320
Main Authors: Lee, Ho-Seok, Shin, Yong Hyun
Format: Journal Article
Language:English
Published: Tokyo Springer Japan 01.07.2016
Springer Nature B.V
Subjects:
Applications of Mathematics
Computational Mathematics and Numerical Analysis
Consumption
Dynamic programming
Investment
Mathematics
Mathematics and Statistics
Original Paper
Retirement
Voluntary retirement
Consumption and leisure
Dynamic programming method
91G10
Cobb–Douglas utility
Subsistence consumption constraint
91G80
ISSN:0916-7005, 1868-937X
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We study an optimal investment, consumption-leisure and voluntary retirement problem for an agent whose consumption rate process is subject to a subsistence constraint before retirement. We use the dynamic programming method to obtain closed-form solutions for the optimal strategies as well as the value function when the agent’s utility of consumption and leisure is of Cobb–Douglas form.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0916-7005
1868-937X
DOI:10.1007/s13160-016-0215-y