학술저널
OPTIMAL STRATEGIES PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 38, No. 3
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2025.08225 - 236 (12 pages)
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DOI : 10.14403/jcms.2025.38.3.225
- 0
This paper studies the problem of optimal consump- tion, investment, and voluntary retirement time under subsistence constraints that differ before and after retirement. For an investor with quadratic utility, we aim to derive closed-form solutions for the value function and the corresponding optimal strategies.
1. Introduction
2. The Financial Market Model
3. The Optimization Problem Without Retirement
4. The Optimization Problem With Retirement
5. Concluding Remarks
References
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