1 |
Dynkin, E. B., Markov Processes II, New York: Academic Press, 1965.
|
2 |
Choi, K. J. and H. K. Koo, "A Preference Change and Discretionary Stopping in a Consumption and Portfolio Selection Problem," Math. Method Oper. Res. 61 (2005), 419-435.
DOI
ScienceOn
|
3 |
Choi, S., H. K. Koo, G. Shim, and T. Zariphopoulou, "A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Consumption and Portfolio Decisions," Ann. Econom. Finance 4 (2003), 427-469.
|
4 |
Choi, K. and G. Shim, "Disutility, Optimal Retirement and Portfolio Selection," Math. Financ. 16 (2006), 443-467.
DOI
ScienceOn
|
5 |
Farhi, E. and S. Panageas, "Saving and investing for early retirement: a theoretical analysis," J. Financial Econ. 83 (2007), 87-121.
DOI
ScienceOn
|
6 |
Jeanblanc, M., P. Lakner, and A. Kadam, "Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy," Math. Oper. Res. 29 (2004), 649-671.
DOI
ScienceOn
|
7 |
Merton, R. C., "A Simple Model of Capital Market Equilibrium with Incomplete Information," J. Finance 42, 3 (1987), 483-510.
DOI
ScienceOn
|
8 |
Karatzas, I., J. Lehoczky, S. Sethi, and S. Shreve, "Explicit solution of a General Consumption/Investment Problem," Math. Oper. Res. 11 (1986), 261-294.
DOI
|
9 |
Merton, R. C., "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," Rev. Econom. Statist. 51 (1969), 247-257.
DOI
ScienceOn
|
10 |
Merton, R. C., "Optimum Consumption and Portfolio Rules in a Continuous-Time Model," J. Econom. Theory 3 (1971), 373-413.
DOI
|
11 |
Shim, G., "Consumption/Investment Problem when the Investment Opportunity Set can be Enlarged by Information Gathering," Operations Research Letters 39, 4 (2011), 283-288.
DOI
ScienceOn
|