An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches

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Abstract

We consider an optimal consumption, leisure, investment, and voluntary retirement problem for an agent with a Cobb-Douglas utility function. Using dynamic programming, we derive closed form solutions for the value function and optimal strategies for consumption, leisure, investment, and retirement. © 2012 Elsevier Ltd. All rights reserved.

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Koo, J. L., Koo, B. L., & Shin, Y. H. (2013). An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: Dynamic programming approaches. Applied Mathematics Letters, 26(4), 481–486. https://doi.org/10.1016/j.aml.2012.11.012

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