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Optimal consumption/investment and retirement with necessities and luxuries
- Authors
- Koo, Hyeng Keun; Roh, Kum-Hwan; Shin, Yong Hyun
- Issue Date
- Oct-2021
- Publisher
- SPRINGER HEIDELBERG
- Keywords
- Necessities; Luxuries; Voluntary retirement; Portfolio selection; Martingale methods
- Citation
- MATHEMATICAL METHODS OF OPERATIONS RESEARCH, v.94, no.2, pp 281 - 317
- Pages
- 37
- Journal Title
- MATHEMATICAL METHODS OF OPERATIONS RESEARCH
- Volume
- 94
- Number
- 2
- Start Page
- 281
- End Page
- 317
- ISSN
- 1432-2994
1432-5217
- Abstract
- In this paper, we study an optimal consumption of necessary and luxury goods, investment, and voluntary retirement choice model. The felicity function is given by the weighted sum of quadratic and HARA utility functions. We use the duality/martingale method to derive a closed form solution for optimal consumption of necessity and luxury, and investment. We also explain properties of optimal policies by using numerical results.
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