[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14317/jami.2021.215

CARA UTILITY AND OPTIMAL RETIREMENT

CHOI, JONGSUNG (Ingenium College, Kwangwoon University)
LEE, HO-SEOK (Department of Mathematics, Kwangwoon University)

Publication Information

Journal of applied mathematics & informatics / v.39, no.1_2, 2021 , pp. 215-222 More about this Journal

Abstract

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.

Keywords

CARA utility; portfolio selection; retirement; subsistence consumption; Bellman equation;

Citations & Related Records

Reference

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