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Optimal consumption/investment and retirement with necessities and luxuries
- Koo, Hyeng Keun;
- Roh, Kum-Hwan;
- Shin, Yong Hyun
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5초록
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.
키워드
Necessities; Luxuries; Voluntary retirement; Portfolio selection; Martingale methods; PORTFOLIO SELECTION; QUADRATIC UTILITY
- 제목
- Optimal consumption/investment and retirement with necessities and luxuries
- 저자
- Koo, Hyeng Keun; Roh, Kum-Hwan; Shin, Yong Hyun
- 발행일
- 2021-10
- 유형
- Article
- 권
- 94
- 호
- 2
- 페이지
- 281 ~ 317