A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints

DOI10.1007/S13160-017-0264-XzbMath1386.91128OpenAlexW2742552850MaRDI QIDQ1684774

Byung Lim Koo, Ho-Seok Lee, Yong Hyun Shin

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0264-x

zbMATH Keywords

leisureportfolio selectiondynamic programming methodborrowing constraintslabor income and disutility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement ⋮ PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS ⋮ Optimal Retirement Under Partial Information

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption-portfolio choices and retirement planning
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Labor income, borrowing constraints, and equilibrium asset prices
• Hedging in incomplete markets with HARA utility
• Optimal retirement strategy with a negative wealth constraint
• Unemployment Risks and Optimal Retirement in an Incomplete Market
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Utility Maximization with Discretionary Stopping
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

This page was built for publication: A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints