Optimal portfolio, consumption and retirement decision under a preference change

Cited 8 time in webofscience Cited 0 time in scopus
  • Hit : 387
  • Download : 0
We investigate an optimal portfolio, consumption and retirement decision problem in which an economic agent can determine the discretionary stopping time as a retirement time with constant labor wage and disutility. We allow the preference of the agent to be changed before and after retirement. It is assumed that the agent's coefficient of relative risk aversion becomes higher after retirement. Under a constant relative risk aversion (CRRA) utility function, we obtain the optimal policies in closed-forms using martingale methods and variational inequality methods. We give some numerical results of the optimal policies. We also consider the relation between the level of disutility and the labor wage with the optimal retirement wealth level. (c) 2009 Elsevier Inc. All rights reserved.
Publisher
Academic Press Inc Elsevier Science
Issue Date
2009-07
Language
English
Article Type
Article; Proceedings Paper
Keywords

CHOICE PROBLEM; TIME; SELECTION; INVESTMENT; DISUTILITY; POLICIES; HORIZON; UTILITY

Citation

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, v.355, no.2, pp.527 - 540

ISSN
0022-247X
URI
http://hdl.handle.net/10203/95972
Appears in Collection
MA-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 8 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0