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An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
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Lee, Ho-Seok;
Shin, Yong Hyun
Article
Issue Date
2015
Citation
JOURNAL OF INEQUALITIES AND APPLICATIONS, v.2015, no.1
Publisher
SPRINGER INTERNATIONAL PUBLISHING AG
A Dynamic Programming Approach to Subsistence Consumption Constraints on Optimal Consumption and Portfolio
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Lee, Ho-Seok;
Shin, Yong Hyun
Article
Issue Date
2017
Citation
JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, v.22, no.1, pp 79 - 99
Publisher
EUDOXUS PRESS, LLC
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Lee, Ho-Seok
2
Shin, Yong Hyun
2
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portfolio selection
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2
CES utility
1
Consumption
1
consumption and leisure
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CRRA utility
1
free boundary value problem
1
OPTIMAL INVESTMENT
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subsistence consumption constraints
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VOLUNTARY RETIREMENT
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