An optimal job, consumption/leisure, and investment policy

被引：17

作者：

Shim, Gyoocheol ^{[1
]}

Shin, Yong Hyun ^{[2
]}

机构：

[1] Ajou Univ, Dept Financial Engn, Suwon 443749, South Korea

[2] Sookmyung Womens Univ, Dept Math, Seoul 140742, South Korea

来源：

OPERATIONS RESEARCH LETTERS | 2014年 / 42卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Job choice; Consumption; Leisure; Portfolio selection; Martingale method; PORTFOLIO SELECTION; RETIREMENT; DISUTILITY; UTILITY; CHOICE; MODEL;

D O I：

10.1016/j.orl.2014.01.009

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

this paper we investigate an optimal job, consumption, and investment policy of an economic agent in a continuous and infinite time horizon. The agent's preference is characterized by the Cobb-Douglas utility function whose arguments are consumption and leisure. We use the martingale method to obtain the closed-form solution for the optimal job, consumption, and portfolio policy. We compare the optimal consumption and investment policy with that in the absence of job choice opportunities. (C) 2014 Elsevier BM. All rights reserved.

引用

页码：145 / 149

页数：5

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