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An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches
- Koo, Jung Lim;
- Koo, Byung Lim;
- Shin, Yong Hyun
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13초록
We consider an optimal consumption, leisure, investment, and voluntary retirement problem for an agent with a Cobb Douglas utility function. Using dynamic programming, we derive closed form solutions for the value function and optimal strategies for consumption, leisure, investment, and retirement. (C) 2012 Elsevier Ltd. All rights reserved.
키워드
Consumption and leisure; Voluntary retirement; Cobb-Douglas utility; Dynamic programming method; Portfolio selection; PORTFOLIO SELECTION
- 제목
- An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches
- 저자
- Koo, Jung Lim; Koo, Byung Lim; Shin, Yong Hyun
- 발행일
- 2013-04
- 유형
- Article
- 권
- 26
- 호
- 4
- 페이지
- 481 ~ 486
- 언어
- ENG
- 출판사
- PERGAMON-ELSEVIER SCIENCE LTD
- 발행국가
- 영국
- 분량
- 6 페이지
- ISSN
- P 0893-9659