Portfolio selection and job switching with CARA utility

被引：0
作者：
Shin, Yong Hyun [1 ,2 ]
Lee, Ho-Seok [3 ]
机构：
[1] Sookmyung Womens Univ, Dept Math, Seoul 04310, South Korea
[2] Sookmyung Womens Univ, Res Inst Nat Sci, Seoul 04310, South Korea
[3] Kwangwoon Univ, Dept Math, Seoul 01897, South Korea
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2023年 / 427卷
基金：
新加坡国家研究基金会;
关键词：
Portfolio selection; Consumption; Job switching; CARA utility; Dual; martingale approach; OPTIMAL CONSUMPTION; RETIREMENT; CHOICE; FLEXIBILITY; INVESTMENT;
D O I：
10.1016/j.cam.2023.115120
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We investigate an optimal consumption and portfolio selection problem with a job switching option. The agent with CARA utility can choose between two types of jobs: one with high labor income but high disutility from labor, and the other with low labor income and low disutility from labor. We use the dual/martingale approach to obtain closed-form solutions to the agent's lifetime utility optimization problem. We also obtain some numerical implications.(c) 2023 Elsevier B.V. All rights reserved.
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页数：16
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