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- Title
Optimal consumption/investment and retirement with necessities and luxuries.
- Authors
Koo, Hyeng Keun; Roh, Kum-Hwan; Shin, Yong Hyun
- Abstract
In this paper, we study an optimal consumption of necessary and luxury goods, investment, and voluntary retirement choice model. The felicity function is given by the weighted sum of quadratic and HARA utility functions. We use the duality/martingale method to derive a closed form solution for optimal consumption of necessity and luxury, and investment. We also explain properties of optimal policies by using numerical results.
- Subjects
RETIREMENT investments; LUXURIES; UTILITY functions; MARTINGALES (Mathematics); RETIREMENT communities
- Publication
Mathematical Methods of Operations Research, 2021, Vol 94, Issue 2, p281
- ISSN
1432-2994
- Publication type
Article
- DOI
10.1007/s00186-021-00758-6