Optimal consumption/investment and retirement with necessities and luxuries

Hyeng Keun Koo (), Kum-Hwan Roh () and Yong Hyun Shin ()
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Hyeng Keun Koo: Ajou University
Kum-Hwan Roh: Hannam University
Yong Hyun Shin: Sookmyung Women’s University

Mathematical Methods of Operations Research, 2021, vol. 94, issue 2, No 5, 317 pages

Abstract: 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.

Keywords: Necessities; Luxuries; Voluntary retirement; Portfolio selection; Martingale methods (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00186-021-00758-6

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