KCI등재
학술저널
CONSUMPTION-LEISURE CHOICE WITH STOCHASTIC INCOME FLOW
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 33, No. 1
- : KCI등재
- 2020.02
- 103 - 112 (10 pages)
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.
1. Introduction
2. Basic Model
3. Problem
4. Solution
5. Optimal Controls
6. Conclusion
References