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http://dx.doi.org/10.14403/jcms.2020.33.2.293

A CONSUMPTION, PORTFOLIO AND RETIREMENT CHOICE PROBLEM WITH NEGATIVE WEALTH CONSTRAINTS  

ROH, KUM-HWAN (Department of Mathematics Hannam University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.33, no.2, 2020 , pp. 293-300 More about this Journal
Abstract
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.
Keywords
negative wealth constraints; optimal retirement; consumption and portfolio selection;
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Times Cited By KSCI : 2  (Citation Analysis)
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