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An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
- Authors
- Lee, Ho-Seok; Shin, Yong Hyun
- Issue Date
- Jul-2016
- Publisher
- SPRINGER JAPAN KK
- Keywords
- Consumption and leisure; Voluntary retirement; Subsistence consumption constraint; Cobb-Douglas utility; Dynamic programming method
- Citation
- JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS, v.33, no.2, pp 297 - 320
- Pages
- 24
- Journal Title
- JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS
- Volume
- 33
- Number
- 2
- Start Page
- 297
- End Page
- 320
- ISSN
- 0916-7005
1868-937X
- Abstract
- We study an optimal investment, consumption-leisure and voluntary retirement problem for an agent whose consumption rate process is subject to a subsistence constraint before retirement. We use the dynamic programming method to obtain closed-form solutions for the optimal strategies as well as the value function when the agent's utility of consumption and leisure is of Cobb-Douglas form.
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