OPTIMAL STRATEGIES PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS

• 발행기관: 충청수학회
• 저자명: Kum-Hwan Roh
• 간행물 정보: 『Journal of the Chungcheong Mathematical Society』Volume 38, No. 3, 225~236쪽, 전체 12쪽
• 주제분류: 자연과학 > 자연과학일반
• 파일형태: PDF
• 발행일자: 2025.08.31

국문 초록

This paper studies the problem of optimal consump- tion, investment, and voluntary retirement time under subsistence constraints that differ before and after retirement. For an investor with quadratic utility, we aim to derive closed-form solutions for the value function and the corresponding optimal strategies.

목차

1. Introduction

2. The Financial Market Model

3. The Optimization Problem Without Retirement

4. The Optimization Problem With Retirement

5. Concluding Remarks

References

키워드

Subsistence consumption constraints Voluntary retire- ment Quadratic utility