• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.16 no.2
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• pp.107-124
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• 2012

In this paper we conduct comparative statics for optimal consumption and portfolio selection of an agent who has a utility function of Epstein and Zin type. We derive the Slutsky equations and decompose the total effects of changes into the substitution effects and the income effects. We identify the role of the elasticity of intertemporal substitution and the coefficient of relative risk aversion.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.18 no.4
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• pp.283-294
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• 2014

In this paper we study consumption-labor supply decision of an agent who prepares for retirement at a known time in the future. The agent is assumed to have a preference which is represented by the von Neumann-Morgenstern utility function in which the felicity function has constant relative risk aversion over the composite of consumption and leisure. The composite is obtained by the Cobb-Douglas function. A general problem has been studied by Bodie et al. (2004). We contribute to the literature by deriving the Slutsky equations and conducting comparative statics. In particular, we show that wealth effect can exhibit an interesting property depending upon the time until retirement, as the interest rate increases.