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An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
- Authors
- Lee, Ho-Seok; Shin, Yong Hyun
- Issue Date
- Oct-2015
- Publisher
- SPRINGER INTERNATIONAL PUBLISHING AG
- Keywords
- consumption and leisure; portfolio selection; voluntary retirement; CES utility; dynamic programming method; free boundary value problem
- Citation
- JOURNAL OF INEQUALITIES AND APPLICATIONS, v.2015, no.1
- Journal Title
- JOURNAL OF INEQUALITIES AND APPLICATIONS
- Volume
- 2015
- Number
- 1
- ISSN
- 1025-5834
1029-242X
- Abstract
- 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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