Optimal portfolio, consumption and retirement decision under a preference change

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dc.contributor.authorKwak, Min-Sukko
dc.contributor.authorShin, Yong-Hyunko
dc.contributor.authorChoi, U-Jinko
dc.date.accessioned2013-03-09T09:19:05Z-
dc.date.available2013-03-09T09:19:05Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2009-07-
dc.identifier.citationJOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, v.355, no.2, pp.527 - 540-
dc.identifier.issn0022-247X-
dc.identifier.urihttp://hdl.handle.net/10203/95972-
dc.description.abstractWe 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.-
dc.languageEnglish-
dc.publisherAcademic Press Inc Elsevier Science-
dc.subjectCHOICE PROBLEM-
dc.subjectTIME-
dc.subjectSELECTION-
dc.subjectINVESTMENT-
dc.subjectDISUTILITY-
dc.subjectPOLICIES-
dc.subjectHORIZON-
dc.subjectUTILITY-
dc.titleOptimal portfolio, consumption and retirement decision under a preference change-
dc.typeArticle-
dc.identifier.wosid000265982800005-
dc.identifier.scopusid2-s2.0-62549101284-
dc.type.rimsART-
dc.citation.volume355-
dc.citation.issue2-
dc.citation.beginningpage527-
dc.citation.endingpage540-
dc.citation.publicationnameJOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS-
dc.contributor.localauthorChoi, U-Jin-
dc.contributor.nonIdAuthorShin, Yong-Hyun-
dc.type.journalArticleArticle; Proceedings Paper-
dc.subject.keywordAuthorPortfolio selection-
dc.subject.keywordAuthorConsumption-
dc.subject.keywordAuthorRetirement-
dc.subject.keywordAuthorLabor wage-
dc.subject.keywordAuthorDisutility-
dc.subject.keywordAuthorPreference change-
dc.subject.keywordAuthorUtility maximization-
dc.subject.keywordPlusCHOICE PROBLEM-
dc.subject.keywordPlusTIME-
dc.subject.keywordPlusSELECTION-
dc.subject.keywordPlusINVESTMENT-
dc.subject.keywordPlusDISUTILITY-
dc.subject.keywordPlusPOLICIES-
dc.subject.keywordPlusHORIZON-
dc.subject.keywordPlusUTILITY-
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