Detailed Information

Cited 0 time in webofscience Cited 3 time in scopus
Metadata Downloads

The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement

Authors
Lim, Byung HwaLee, Ho-SeokShin, Yong Hyun
Issue Date
Jun-2018
Publisher
Elsevier Ltd
Keywords
Portfolio selection; Voluntary retirement; Downside consumption constraints; Martingale method
Citation
Finance Research Letters, v.25, pp 213 - 221
Pages
9
Journal Title
Finance Research Letters
Volume
25
Start Page
213
End Page
221
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/4493
DOI
10.1016/j.frl.2017.10.029
ISSN
1544-6123
1544-6131
Abstract
We investigate the optimal consumption, portfolio, and voluntary retirement choice problem in which an agent faces both pre-/post-retirement downside consumption constraints. We obtain the closed-form solutions using the martingale method and analyze the effect of the constraints on the optimal policies. We observe that the retirement wealth level is monotonically decreasing with pre-retirement constraints, while it is monotonically increasing with post-retirement constraints. We also find that the post-retirement downside consumption constraint has a significant impact on pre-retirement optimal policies. However, the pre-retirement downside consumption constraint does not act on post-retirement optimal policies.
Files in This Item
Go to Link
Appears in
Collections
이과대학 > 수학과 > 1. Journal Articles

qrcode

Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Researcher Shin, Yong Hyun photo

Shin, Yong Hyun
이과대학 (수학과)
Read more

Altmetrics

Total Views & Downloads

BROWSE