Article ID Journal Published Year Pages File Type
1708757 Applied Mathematics Letters 2012 7 Pages PDF
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 Computational Mechanics
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