Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints

DOI10.1016/j.jmaa.2008.04.011zbMath1175.91162OpenAlexW1991750093MaRDI QIDQ930981

U. Jin Choi, Byung Hwa Lim, Yong Hyun Shin

Publication date: 24 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.04.011

zbMATH Keywords

utility maximizationconsumptionportfolio selectionretirementlabor incomedisutilitysubsistence consumption constraints

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement ⋮ An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ Comparison of optimal portfolios with and without subsistence consumption constraints ⋮ Optimal retirement time under habit persistence: what makes individuals retire early? ⋮ Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework ⋮ Optimal investment, stochastic labor income and retirement ⋮ Unnamed Item ⋮ Portfolio selection with subsistence consumption constraints and CARA utility ⋮ AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH ⋮ Optimal portfolio, consumption and retirement decision under a preference change ⋮ Optimal investment, consumption and timing of annuity purchase under a preference change ⋮ An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption-portfolio choices and retirement planning
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• A preference change and discretionary stopping in a consumption and portfolio selection problem
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Utility Maximization with Discretionary Stopping
• Stochastic Target Hitting Time and the Problem of Early Retirement
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
• Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints