An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: A dynamic programming approach

In this paper, we investigate an optimal consumption/portfolio problem of an agent with voluntary retirement and subsistence consumption constraints before retirement. We assume that the agent's utility function of consumption is of CRRA type and the agent suffers a utility loss from labor before retirement. We use the dynamic programming method to obtain explicit forms of the optimal consumption/portfolio and retirement time.