Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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CONSUMPTION-LEISURE CHOICE WITH STOCHASTIC INCOME FLOW

  • Lee, Ho-Seok (Department of Mathematics Kwangwoon University) ;
  • Lim, Byung Hwa (Department of Economics and Finance The University of Suwon)
  • Received : 2019.12.10
  • Accepted : 2020.01.24
  • Published : 2020.02.15
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Abstract

This paper investigates the portfolio selection problem with flexible labor choice and stochastic income flow where the unit wage flow is governed by a stochastic process. The agent optimally chooses consumption, investment, and labor supply. We derive the closed-form solution by applying a martingale method even with the stochastic income flow.

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References

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