Optimal portfolio, consumption-leisure and retirement choice problem = 최적 소비-레져, 투자 및 은퇴 결정 문제

We consider an optimal consumption and portfolio selection problem of an infinitely-lived agent under various conditions. First we solve the problem of the agent whose consumption rate process is subjected to downside constraints with no retirement time $\\tau$. Second we solve the problem of the agent whose consumption rate process is subject to subsistence constraints with retirement time $\\tau$ which is considered as the first hitting time when her wealth exceeds a certain wealth boundary which will be determined by the free boundary value problem and the duality approach. Third we study optimal portfolio, consumption-leisure and retirement choice of the agent whose instantaneous preference is characterized by a constant elasticity of substitution(CES) function of consumption and leisure. For each case we obtain the optimal policies in explicit forms using a martingale method and a variational inequality arising from the dual functions of the optimal stopping problem. We also derive the optimal wealth processes before and after retirement in closed forms. We provide the critical wealth level for retirement in closed forms. We present some numerical results of optimal consumption and portfolio.
Advisors
Choi, U-JinresearcherKoo, Hyeng-Keunresearcher최우진researcher구형건researcher
Publisher
한국과학기술원
Issue Date
2007
Identifier
263457/325007  / 020025160
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수학전공, 2007.2, [ viii, 78 p. ]

Keywords

retirement; labor income; 소비; 자산 선택; 은퇴; 노동 수입; Consumption; portfolio selection

URI
http://hdl.handle.net/10203/41889
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=263457&flag=t
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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