Optimal consumption/investment and retirement with necessities and luxuries
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Koo, Hyeng Keun | - |
dc.contributor.author | Roh, Kum-Hwan | - |
dc.contributor.author | Shin, Yong Hyun | - |
dc.date.accessioned | 2022-04-19T09:03:25Z | - |
dc.date.available | 2022-04-19T09:03:25Z | - |
dc.date.issued | 2021-10 | - |
dc.identifier.issn | 1432-2994 | - |
dc.identifier.issn | 1432-5217 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/146355 | - |
dc.description.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. | - |
dc.format.extent | 37 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | SPRINGER HEIDELBERG | - |
dc.title | Optimal consumption/investment and retirement with necessities and luxuries | - |
dc.type | Article | - |
dc.publisher.location | 독일 | - |
dc.identifier.doi | 10.1007/s00186-021-00758-6 | - |
dc.identifier.scopusid | 2-s2.0-85118314102 | - |
dc.identifier.wosid | 000713074800001 | - |
dc.identifier.bibliographicCitation | MATHEMATICAL METHODS OF OPERATIONS RESEARCH, v.94, no.2, pp 281 - 317 | - |
dc.citation.title | MATHEMATICAL METHODS OF OPERATIONS RESEARCH | - |
dc.citation.volume | 94 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 281 | - |
dc.citation.endPage | 317 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | QUADRATIC UTILITY | - |
dc.subject.keywordAuthor | Necessities | - |
dc.subject.keywordAuthor | Luxuries | - |
dc.subject.keywordAuthor | Voluntary retirement | - |
dc.subject.keywordAuthor | Portfolio selection | - |
dc.subject.keywordAuthor | Martingale methods | - |
dc.identifier.url | https://link.springer.com/article/10.1007/s00186-021-00758-6 | - |
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