An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints

DOI10.1016/J.CHAOS.2017.06.017zbMath1376.91153OpenAlexW2731727680MaRDI QIDQ1681694

Yong Hyun Shin, Myungjoo Kang, Kyunghyun Park

Publication date: 24 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.06.017

zbMATH Keywords

portfolio selectiondynamic programming methodCobb-Douglas utilitynegative wealth constraints

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (3)

Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility ⋮ Unnamed Item ⋮ PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Voluntary retirement and portfolio selection: dynamic programming approaches
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal retirement strategy with a negative wealth constraint
• An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: dynamic programming approaches
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

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