دانلود مقاله ISI انگلیسی شماره 23941
عنوان فارسی مقاله

سرمایه گذاری بهینه، مصرف، اوقات فراغت، و مشکل بازنشستگی داوطلبانه با مطلوبیت کاب داگلاس: روش برنامه نویسی پویا

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
23941 2013 6 صفحه PDF سفارش دهید 3970 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb–Douglas utility: Dynamic programming approaches
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Applied Mathematics Letters, Volume 26, Issue 4, April 2013, Pages 481–486

کلمات کلیدی
مصرف و اوقات فراغت - بازنشستگی داوطلبانه - مطلوبیت کاب داگلاس - روش برنامه نویسی پویا - انتخاب نمونه کارها
پیش نمایش مقاله
پیش نمایش مقاله سرمایه گذاری بهینه، مصرف، اوقات فراغت، و مشکل بازنشستگی داوطلبانه با مطلوبیت کاب داگلاس: روش برنامه نویسی پویا

چکیده انگلیسی

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.

مقدمه انگلیسی

We consider an optimal consumption, leisure, and investment problem with voluntary retirement for an agent whose period utility function is a Cobb–Douglas utility function of consumption and leisure. In this model the agent can flexibly choose her leisure amount before retirement above a certain minimum labor requirement, and will receive labor income proportional to the amount of labor supplied. Upon retirement, the agent will enjoy full leisure, at the cost of forgoing all labor income. Using the dynamic programming method pioneered by Merton [1] and [2] and Karatzas et al. [3] we find closed form solutions to the value function and find the optimal consumption, leisure, and portfolio policies. Barucci and Marazzina [4] consider this consumption, leisure, investment, and retirement problem in the case of stochastic labor income. Choi et al. [5] solve a similar problem for an agent who has constant elasticity of substitution (CES) period utility. Farhi and Panageas [6] also consider such a problem, where the choice of leisure is confined to only two values: l1l1 while working and View the MathML sourcel̄ after retirement. In all of these papers, the authors use the martingale method to solve their optimization problems (see also [7] and [8]). Shin [9] extends the results of Farhi and Panageas [6] by solving their problem using the dynamic programming method, and shows the equivalence of the solutions obtained through the martingale method and the dynamic programming method. Likewise, we provide a methodological contribution by solving our optimization problem using the dynamic programming method. The work is organized as follows. Section 2 provides information on the financial market. Section 3 lays out and solves our optimization problem, with detailed proofs provided.

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