Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
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CARA UTILITY AND OPTIMAL RETIREMENT

  • 투고 : 2020.12.29
  • 심사 : 2021.01.20
  • 발행 : 2021.01.30
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초록

We explore an optimal consumption/portfolio and retirement problem with a CARA utility function of consumption. The relevant Bellman equation for the value function is transformed into a linear equation and the optimal strategies are obtained explicitly.

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참고문헌

  1. K.J. Choi and G. Shim, Disutility, Optimal Retirement, and Portfolio Selection, Mathematical finance 16 (2006), 443-467. https://doi.org/10.1111/j.1467-9965.2006.00278.x
  2. I. Karatzas, J.P. Lehoczky, S.P. Sethi, and S.E. Shreve, Explicit solution of a general consumption/investment problem, Mathematics of Operations Research 11 (1986), 261-294. https://doi.org/10.1287/moor.11.2.261
  3. J.Y. Kim and Y.H. Shin, Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility, Journal of the Korean Statistical Society 47 (2018), 509-519. https://doi.org/10.1016/j.jkss.2018.06.001
  4. H.S. Lee and Y.H. Shin, An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: A dynamic programming approach, Journal of Mathematical Analysis and Applications 428 (2018), 762-771. https://doi.org/10.1016/j.jmaa.2015.03.025
  5. K.H. Roh and Y.H. Shin, Optimal consumption and portfolio selection with lower and upper bounds on consumption, Advances in Difference Equations 2020 (2020), 1-11. https://doi.org/10.1186/s13662-019-2438-0
  6. G. Shim and Y.H. Shin, Portfolio Selection with Subsistence Consumption Constraints and CARA Utility, Mathematical Problems in Engineering 2014 (2014), 1-6.