An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach

被引：4
|
作者：
Lee, Ho-Seok [1 ]
Shin, Yong Hyun [2 ]
机构：
[1] POSTECH, Res Inst Finance & Risk Management, Pohang 37673, South Korea
[2] Sookmyung Womens Univ, Dept Math, Seoul 04310, South Korea
来源：
JOURNAL OF INEQUALITIES AND APPLICATIONS | 2015年
关键词：
consumption and leisure; portfolio selection; voluntary retirement; CES utility; dynamic programming method; free boundary value problem; VOLUNTARY RETIREMENT; OPTIMAL INVESTMENT; SELECTION; MODEL;
D O I：
10.1186/s13660-015-0841-y
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we study an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility function. Using the dynamic programming method, we obtain the value function and optimal investment, consumption, leisure, and retirement strategies in analytic form. Numerically we observe that the threshold retirement wealth level is an increasing function with respect to the elasticity of substitution.
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页数：13
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