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An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches
- Authors
- Koo, Jung Lim; Koo, Byung Lim; Shin, Yong Hyun
- Issue Date
- Apr-2013
- Publisher
- PERGAMON-ELSEVIER SCIENCE LTD
- Keywords
- Consumption and leisure; Voluntary retirement; Cobb-Douglas utility; Dynamic programming method; Portfolio selection
- Citation
- APPLIED MATHEMATICS LETTERS, v.26, no.4, pp 481 - 486
- Pages
- 6
- Journal Title
- APPLIED MATHEMATICS LETTERS
- Volume
- 26
- Number
- 4
- Start Page
- 481
- End Page
- 486
- ISSN
- 0893-9659
- Abstract
- We consider an optimal consumption, leisure, investment, and voluntary retirement problem for an agent with a Cobb Douglas utility function. Using dynamic programming, we derive closed form solutions for the value function and optimal strategies for consumption, leisure, investment, and retirement. (C) 2012 Elsevier Ltd. All rights reserved.
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