An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach

被引：0
|
作者：
Ho-Seok Lee
Yong Hyun Shin
机构：
[1] POSTECH,Research Institute of Finance & Risk Management
[2] Sookmyung Women’s University,Department of Mathematics
来源：
Journal of Inequalities and Applications | / 2015卷
关键词：
consumption and leisure; portfolio selection; voluntary retirement; CES utility; dynamic programming method; free boundary value problem; 91G10; 91G80;
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摘要：
In this paper, we study an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility function. Using the dynamic programming method, we obtain the value function and optimal investment, consumption, leisure, and retirement strategies in analytic form. Numerically we observe that the threshold retirement wealth level is an increasing function with respect to the elasticity of substitution.
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