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An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Lee, Ho-Seok | - |
| dc.contributor.author | Shin, Yong Hyun | - |
| dc.date.available | 2021-02-22T11:32:38Z | - |
| dc.date.issued | 2015-10 | - |
| dc.identifier.issn | 1025-5834 | - |
| dc.identifier.issn | 1029-242X | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/10203 | - |
| dc.description.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. | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | SPRINGER INTERNATIONAL PUBLISHING AG | - |
| dc.title | An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach | - |
| dc.type | Article | - |
| dc.publisher.location | 스위스 | - |
| dc.identifier.doi | 10.1186/s13660-015-0841-y | - |
| dc.identifier.scopusid | 2-s2.0-84943223772 | - |
| dc.identifier.wosid | 000362590600003 | - |
| dc.identifier.bibliographicCitation | JOURNAL OF INEQUALITIES AND APPLICATIONS, v.2015, no.1 | - |
| dc.citation.title | JOURNAL OF INEQUALITIES AND APPLICATIONS | - |
| dc.citation.volume | 2015 | - |
| dc.citation.number | 1 | - |
| dc.type.docType | Article | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
| dc.relation.journalWebOfScienceCategory | Mathematics | - |
| dc.subject.keywordPlus | VOLUNTARY RETIREMENT | - |
| dc.subject.keywordPlus | OPTIMAL INVESTMENT | - |
| dc.subject.keywordPlus | SELECTION | - |
| dc.subject.keywordPlus | MODEL | - |
| dc.subject.keywordAuthor | consumption and leisure | - |
| dc.subject.keywordAuthor | portfolio selection | - |
| dc.subject.keywordAuthor | voluntary retirement | - |
| dc.subject.keywordAuthor | CES utility | - |
| dc.subject.keywordAuthor | dynamic programming method | - |
| dc.subject.keywordAuthor | free boundary value problem | - |
| dc.identifier.url | https://journalofinequalitiesandapplications.springeropen.com/articles/10.1186/s13660-015-0841-y | - |
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