충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제33권2호
  • /
  • Pages.293-300
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  • 2020
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  • 1226-3524(pISSN)
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  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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A CONSUMPTION, PORTFOLIO AND RETIREMENT CHOICE PROBLEM WITH NEGATIVE WEALTH CONSTRAINTS

  • 투고 : 2018.04.17
  • 심사 : 2020.05.04
  • 발행 : 2020.05.15
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초록

In this paper we study an optimal consumption, investment and retirement time choice problem of an investor who receives labor income before her voluntary retirement. And we assume that there is a negative wealth constraint which is a general version of borrowing constraint. Using convex-duality method, we provide the closed-form solutions of the optimization problem.

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참고문헌

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