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A closed-form solution for the continuous-time consumption model with endogenous labor income

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  • Aihua Zhang

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  • Aihua Zhang, 2010. "A closed-form solution for the continuous-time consumption model with endogenous labor income," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 149-167, November.
    • Handle: RePEc:spr:decfin:v:33:y:2010:i:2:p:149-167
    DOI: 10.1007/s10203-010-0104-9
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    References listed on IDEAS

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    1. Mason, Robin & Wright, Stephen, 2001. "The effects of uncertainty on optimal consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 185-212, January.
    2. Toche, Patrick, 2005. "A tractable model of precautionary saving in continuous time," Economics Letters, Elsevier, vol. 87(2), pages 267-272, May.
    3. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    4. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 353-369, April.
    5. Yulei Luo & William T. Smith & Heng-Fu Zou, 2009. "The Spirit of Capitalism, Precautionary Savings, and Consumption," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 543-554, March.
    6. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    7. Nicole El Karoui & Monique Jeanblanc-Picqué, 1998. "Optimization of consumption with labor income," Finance and Stochastics, Springer, vol. 2(4), pages 409-440.
    8. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
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    Cited by:

    1. Ewald, Christian-Oliver & Zhang, Aihua, 2017. "On the effects of changing mortality patterns on investment, labour and consumption under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 105-115.

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    More about this item

    Keywords

    Labor supply decisions; Portfolio optimization with wage income; Euler equation; Martingale method; C61; C73; G1; J22;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G1 - Financial Economics - - General Financial Markets
    • J22 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Time Allocation and Labor Supply

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