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...

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Vydané v:	Japan journal of industrial and applied mathematics Ročník 33; číslo 2; s. 297 - 320
Hlavní autori:	Lee, Ho-Seok, Shin, Yong Hyun
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Tokyo Springer Japan 01.07.2016 Springer Nature B.V
Predmet:	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
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