Voluntary retirement and portfolio selection: Dynamic programming approaches

초록

I consider a continuous-time optimal consumption and portfolio selection problem with voluntary retirement. When the agent's utility of consumption and leisure are of Cobb-Douglas form, I use the dynamic programming method to derive the value function and optimal strategies in closed-form. These coincide with the solutions of Farhi and Panageas (2007)[7], who have solved the problem using a martingale method. (C) 2012 Elsevier Ltd. All rights reserved.

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