IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v2y1998i4p409-440.html
   My bibliography  Save this item

Optimization of consumption with labor income

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
  2. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  3. Zvi Bodie & Jonathan Treussard & Paul S. Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston.
  4. 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.
  5. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing and Life-Cycle Portfolio Choice," NBER Working Papers 12309, National Bureau of Economic Research, Inc.
  6. 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.
  7. Huy Chau & Duy Nguyen & Thai Nguyen, 2024. "Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach," Papers 2412.10692, arXiv.org.
  8. Weidong Tian & Zimu Zhu, 2022. "Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint," Papers 2210.01016, arXiv.org, revised Dec 2023.
  9. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
  10. Foldes, Lucien, 2000. "Valuation and martingale properties of shadow prices: An exposition," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1641-1701, October.
  11. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  12. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
  13. 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.
  14. Doriana Ruffino, 2014. "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 107-130, January.
  15. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2004. "Optimal design of the guarantee for defined contribution funds," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2239-2260, October.
  16. Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 367-417, June.
  17. Morten Tolver Kronborg, 2014. "Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee," Risks, MDPI, vol. 2(2), pages 1-24, May.
  18. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
  19. André Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Annals of Operations Research, Springer, vol. 165(1), pages 161-185, January.
  20. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
  21. El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 449-468, March.
  22. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  23. Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
  24. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  25. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
  26. Christoph Belak & An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Feb 2022.
  27. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
  28. Adrien Verdelhan, 2010. "A Habit‐Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
  29. Jeon, Junkee & Park, Kyunghyun, 2023. "Optimal job switching and retirement decision," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  30. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.
  31. Mohamed Mnif, 2010. "Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach," Papers 1008.5058, arXiv.org.
  32. Wahid Faidi & Hanen Mezghanni & Mohamed Mnif, 2019. "Expected Utility Maximization Problem Under State Constraints and Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 1123-1152, December.
  33. Nguyen-Thanh Long, 2004. "Investment optimization under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(2), pages 175-201, October.
  34. Hugonnier, Julien & Prieto, Rodolfo, 2015. "Asset pricing with arbitrage activity," Journal of Financial Economics, Elsevier, vol. 115(2), pages 411-428.
  35. Jeon, Junkee & Koo, Hyeng Keun & Shin, Yong Hyun, 2018. "Portfolio selection with consumption ratcheting," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 153-182.
  36. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
  37. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  38. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
  39. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
  40. Paolo BATTOCCHIO, 2002. "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," LIDAM Discussion Papers IRES 2002005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  41. Keppo, Jussi & Meng, Xu & Sullivan, Michael G., 2007. "A computational scheme for the optimal strategy in an incomplete market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3591-3613, November.
  42. Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
  43. repec:dau:papers:123456789/5590 is not listed on IDEAS
  44. Ashley Davey & Michael Monoyios & Harry Zheng, 2020. "Duality for optimal consumption with randomly terminating income," Papers 2011.00732, arXiv.org, revised May 2021.
  45. Junkee Jeon & Kyunghyun Park, 2021. "Portfolio selection with drawdown constraint on consumption: a generalization model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 243-289, April.
  46. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, University Library of Munich, Germany, revised 25 Mar 2003.
  47. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2003. "Optimal investment strategies in the presence of a minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 189-207, August.
  48. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
  49. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  50. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
  51. Yang, Yunhong, 2000. "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 135-153, March.
  52. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
  53. Battocchio, Paolo & Menoncin, Francesco, 2004. "Optimal pension management in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 79-95, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.