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An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: A dynamic programming approach
- Authors
- Lee, Ho-Seok; Shin, Yong Hyun
- Issue Date
- Aug-2015
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Voluntary retirement; Portfolio selection; Subsistence consumption constraints; CRRA utility; Dynamic programming method
- Citation
- JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, v.428, no.2, pp 762 - 771
- Pages
- 10
- Journal Title
- JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
- Volume
- 428
- Number
- 2
- Start Page
- 762
- End Page
- 771
- ISSN
- 0022-247X
1096-0813
- Abstract
- In this paper, we investigate an optimal consumption/portfolio problem of an agent with voluntary retirement and subsistence consumption constraints before retirement. We assume that the agent's utility function of consumption is of CRRA type and the agent suffers a utility loss from labor before retirement. We use the dynamic programming method to obtain explicit forms of the optimal consumption/portfolio and retirement time. (C) 2015 Elsevier Inc. All rights reserved.
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