An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches

作者：Koo, Jung Lim; Koo, Byung Lim; Shin, Yong Hyun^*

来源：Applied Mathematics Letters, 2013, 26(4): 481-486.

DOI：10.1016/j.aml.2012.11.012

• Consumption and leisure
• Voluntary retirement
• Cobb-Douglas utility
• Dynamic programming method
• Portfolio selection

We consider an optimal consumption, leisure, investment, and voluntary retirement problem for an agent with a Cobb Douglas utility function. Using dynamic programming, we derive closed form solutions for the value function and optimal strategies for consumption, leisure, investment, and retirement.

• 出版日期2013-4
• 单位厦门大学