Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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A CONSUMPTION, PORTFOLIO AND RETIREMENT CHOICE PROBLEM WITH NEGATIVE WEALTH CONSTRAINTS

  • Received : 2018.04.17
  • Accepted : 2020.05.04
  • Published : 2020.05.15
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Abstract

In this paper we study an optimal consumption, investment and retirement time choice problem of an investor who receives labor income before her voluntary retirement. And we assume that there is a negative wealth constraint which is a general version of borrowing constraint. Using convex-duality method, we provide the closed-form solutions of the optimization problem.

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References

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