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http://dx.doi.org/10.14403/jcms.2020.33.1.103

CONSUMPTION-LEISURE CHOICE WITH STOCHASTIC INCOME FLOW

Lee, Ho-Seok (Department of Mathematics Kwangwoon University)
Lim, Byung Hwa (Department of Economics and Finance The University of Suwon)

Publication Information

Journal of the Chungcheong Mathematical Society / v.33, no.1, 2020 , pp. 103-112 More about this Journal

Abstract

This paper investigates the portfolio selection problem with flexible labor choice and stochastic income flow where the unit wage flow is governed by a stochastic process. The agent optimally chooses consumption, investment, and labor supply. We derive the closed-form solution by applying a martingale method even with the stochastic income flow.

Keywords

Portfolio selection; flexible labor supply; stochastic income; martingale method;

Citations & Related Records

Reference

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