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Portfolio selection and job switching with CARA utility
- Shin, Yong Hyun;
- Lee, Ho-Seok
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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.
키워드
CARA utility; Consumption; Dual/martingale approach; Job switching; Portfolio selection; OPTIMAL CONSUMPTION; RETIREMENT; CHOICE; FLEXIBILITY; INVESTMENT
- 제목
- Portfolio selection and job switching with CARA utility
- 저자
- Shin, Yong Hyun; Lee, Ho-Seok
- 발행일
- 2023-08
- 유형
- Article
- 권
- 427