Optimal Consumption and Investment with Independent Stochastic Labor Income

References

• [1] Bensoussan A, Jang BG, Park S (2016) Unemployment risks and optimal retirement in an incomplete market. Oper. Res. 64:1015–1032.Link, Google Scholar
• [2] Benzoni L, Collin-Dufresne P, Goldstein RS (2007) Portfolio choice over the life-cycle when the stock and labor markets are cointegrated. J. Finance 62:2123–2167.Crossref, Google Scholar
• [3] Bodie Z, Merton RC, Samuelson WF (1992) Labor supply flexibility and portfolio choice in a life cycle model. J. Econom. Dynam. Control 16:427–449.Crossref, Google Scholar
• [4] Campbell JY, Cocco J, Gomes FJ, Maenhout P (2001) Investing retirement wealth: A life-cycle model. Campbell JY, Feldstein M, eds. Risk Aspects of Investment-Based Social Security Reform (University of Chicago Press, Chicago), 439–482.Crossref, Google Scholar
• [5] Choi KJ, Shim G, Shin YH (2008) Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Math. Finance 18:445–472.Crossref, Google Scholar
• [6] Cocco JF, Gomes FJ, Maenhout PJ (2005) Consumption and portfolio choice over the life cycle. Rev. Financial Stud. 18:491–533.Crossref, Google Scholar
• [7] Cox JC, Huang C (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econom. Theory 49:33–83.Crossref, Google Scholar
• [8] Dai M, Yi F (2009) Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem. J. Differential Equations 246:1445–1469.Crossref, Google Scholar
• [9] Dai M, Zhong Y (2010) Penalty methods for continuous-time portfolio selection with proportional transaction costs. J. Comput. Finance 13:1–31.Crossref, Google Scholar
• [10] Davis SJ, Willen P (2013) Occupation-level income shocks and asset returns: Their covariance and implications for portfolio choice. Quart. J. Finance 3:1–53.Crossref, Google Scholar
• [11] Duffie D, Fleming W, Soner M, Zariphopoulou T (1997) Hedging in incomplete markets with HARA utility. J. Econom. Dynam. Control 21:753–782.Crossref, Google Scholar
• [12] Dybvig PH, Liu H (2010) Lifetime consumption and investment: Retirement and constrained borrowing. J. Econom. Theory 145:885–907.Crossref, Google Scholar
• [13] Dybvig PH, Liu H (2011) Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing. Math. Oper. Res. 36:620–635.Link, Google Scholar
• [14] Farhi E, Panageas S (2007) Saving and investing for early retirement: A theoretical analysis. J. Financial Econom. 83:87–121.Crossref, Google Scholar
• [15] Garlappi L, Skoulakis G (2010) Solving consumption and portfolio choice problems: The state variable decomposition method. Rev. Financial Stud. 23:3346–3400.Crossref, Google Scholar
• [16] Gomes F, Smirnova O (2021) Stock market participation and portfolio shares over the life-cycle. Preprint, submitted March 15, http://dx.doi.org/10.2139/ssrn.3808350.Google Scholar
• [17] He H, Pearson N (1991) Consumption and portfolio policies with incomplete markets: The infinite dimensional case. J. Econom. Theory 54:259–305.Crossref, Google Scholar
• [18] Heaton J, Lucas D (1997) Market frictions, savings behavior and portfolio choice. Macroecon. Dynam. 1:76–101.Crossref, Google Scholar
• [19] Jang BG, Park S, Rhee Y (2013) Optimal retirement with unemployment risks. J. Banking Finance 37:3585–3604.Crossref, Google Scholar
• [20] Jin X, Zhang AX (2012) Decomposition of optimal portfolio weight in a jump-diffusion model and its applications. Rev. Financial Stud. 24:2877–2919.Crossref, Google Scholar
• [21] Jin X, Luo D, Zeng X (2017) Dynamic asset allocation with uncertain jump risks: A pathwise optimization problem. Math. Oper. Res. 43:347–376.Link, Google Scholar
• [22] Karatzas I, Lehoczky JP, Shreve SE, Xu G-L (1991) Martingale and duality methods for utility maximization in an incomplete market. SIAM J. Control Optim. 29:702–730.Crossref, Google Scholar
• [23] Koo HK (1998) Consumption and portfolio selection with labor income: A continuous time approach. Math. Finance 8:49–65.Crossref, Google Scholar
• [24] Lynch AW, Tan S (2011) Labor income dynamics at business-cycle frequencies: Implications for portfolio choice. J. Financial Econom. 101:333–359.Crossref, Google Scholar
• [25] Merton RC (1971) Optimal consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3:373–413.Crossref, Google Scholar
• [26] Rockafellar RT (1970) Convex Analysis (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
• [27] Storesletten K, Telmer CI, Yaron A (2007) Asset pricing with idiosyncratic risk and overlapping generations. Rev. Econom. Dynam. 10:519–548.Crossref, Google Scholar
• [28] Wang C, Wang N, Yang J (2016) Optimal consumption and savings with stochastic income and recursive utility. J. Econom. Theory 165:292–331.Crossref, Google Scholar
• [29] Yang Z, Koo HK (2018) Optimal consumption and portfolio selection with early retirement option. Math. Oper. Res. 43:1378–1404.Link, Google Scholar