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Voluntary retirement and portfolio selection: Dynamic programming approaches
- Authors
- Shin, Yong Hyun
- Issue Date
- Jul-2012
- Publisher
- PERGAMON-ELSEVIER SCIENCE LTD
- Keywords
- Voluntary retirement; Cobb-Douglas utility; Dynamic programming method; Portfolio selection
- Citation
- APPLIED MATHEMATICS LETTERS, v.25, no.7, pp 1087 - 1093
- Pages
- 7
- Journal Title
- APPLIED MATHEMATICS LETTERS
- Volume
- 25
- Number
- 7
- Start Page
- 1087
- End Page
- 1093
- ISSN
- 0893-9659
- Abstract
- I consider a continuous-time optimal consumption and portfolio selection problem with voluntary retirement. When the agent's utility of consumption and leisure are of Cobb-Douglas form, I use the dynamic programming method to derive the value function and optimal strategies in closed-form. These coincide with the solutions of Farhi and Panageas (2007)[7], who have solved the problem using a martingale method. (C) 2012 Elsevier Ltd. All rights reserved.
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