Yong Hyun Shin

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

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.

Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

ABSTRACT In this article, we analyze the optimal consumption and investment policy of an agent who has a quadratic felicity function and faces a subsistence consumption constraint. The agents optimal investment in the risky asset increases linearly for low wealth levels. Risk taking continues to increase at a decreasing rate for wealth levels higher than subsistence wealth until it hits a maximum at a certain wealth level, and declines for wealth levels above this threshold. Further, the agent has a bliss level of consumption, since if an agent consumes more than this level she will suffer utility loss. Eventually her risk taking becomes zero at a wealth level which supports her bliss consumption.

Voluntary retirement and portfolio selection: Dynamic programming approaches

Abstract I consider a continuous-time optimal consumption and portfolio selection problem with voluntary retirement. When the agent’s utility of consumption and leisure are of Cobb–Douglas form, I use the dynamic programming method to derive the value function and optimal strategies in closed-form. These coincide with the solutions of Farhi and Panageas (2007) [7] , who have solved the problem using a martingale method.

A Regime Switching Model of Schooling Choice as a Job Search Process

We propose a regime switching model of schooling choice as a job search process. We adopt a two-state Markov process and the derived coupled Bellman equations are solved by seeking the root of an auxiliary algebraic equation. Some numerical examples are also considered.