Portfolio selection and job switching with CARA utility

DOI10.1016/J.CAM.2023.115120zbMath1518.91249OpenAlexW4321113861MaRDI QIDQ6099505

Ho-Seok Lee, Yong Hyun Shin

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115120

zbMATH Keywords

consumptionportfolio selectionCARA utilitydual/martingale approachjob switching

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Labor markets (91B39)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• An optimal job, consumption/leisure, and investment policy
• Reversible job-switching opportunities and portfolio selection
• Borrowing constraints, effective flexibility in labor supply, and portfolio selection
• Unemployment Risks and Optimal Retirement in an Incomplete Market
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

This page was built for publication: Portfolio selection and job switching with CARA utility