Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1708757 | Applied Mathematics Letters | 2012 | 7 Pages |
Abstract
I consider a continuous-time optimal consumption and portfolio selection problem with voluntary retirement. When the agent’s utility of consumption and leisure are of Cobb–Douglas form, I use the dynamic programming method to derive the value function and optimal strategies in closed-form. These coincide with the solutions of Farhi and Panageas (2007) [7], who have solved the problem using a martingale method.
Related Topics
Physical Sciences and Engineering
Engineering
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Authors
Yong Hyun Shin,