Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement

DOI10.1186/S13660-018-1756-1zbMath1498.91392OpenAlexW2862675148WikidataQ91103245 ScholiaQ91103245MaRDI QIDQ824656

Ho-Seok Lee

Publication date: 15 December 2021

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-018-1756-1

zbMATH Keywords

optimal stopping timedynamic programming methodfree boundary value problemrisk aversion changesubsistence consumption

Mathematics Subject Classification ID

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

Cites Work

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• Consumption-Investment Models with Constraints
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

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