Portfolio selection and job switching with CARA utility

초록

We investigate an optimal consumption and portfolio selection problem with a job switching option. The agent with CARA utility can choose between two types of jobs: one with high labor income but high disutility from labor, and the other with low labor income and low disutility from labor. We use the dual/martingale approach to obtain closed-form solutions to the agent's lifetime utility optimization problem. We also obtain some numerical implications. © 2023 Elsevier B.V.

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