Optimal investment, stochastic labor income and retirement

被引：21

作者：

Barucci, Emilio ^{[1
]}

Marazzina, Daniele ^{[1
]}

机构：

[1] Politecn Milan, Dept Math, I-20133 Milan, Italy

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2012年 / 218卷 / 09期

关键词：

Intertemporal optimal consumption and portfolio; Labor income; Retirement; OPTIMAL PORTFOLIO CHOICE; BORROWING CONSTRAINTS; OPTIMAL CONSUMPTION; INCOMPLETE MARKETS; ASSET PRICES; GROWTH-MODEL; RISK; SELECTION; UTILITY; UNCERTAINTY;

D O I：

10.1016/j.amc.2011.11.052

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We address an optimal consumption-investment-retirement problem with stochastic labor income. We study the Merton problem assuming that the agent has to take four different decisions: the retirement date which is irreversible; the labor and the consumption rate and the portfolio decision before retirement. After retirement the agent only chooses the portfolio and the consumption rate. We confirm some classical results and we show that labor, portfolio and retirement decisions interact in a complex way depending on the spanning opportunities. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：5588 / 5604

页数：17

共 50 条

[11]

Choi KJ, 2006, MATH FINANC, V16, P443

[12] Optimal portfolio, consumption-leisure and retirement choice problem with CES utility [J].