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

  • Aihua Zhang

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    File URL: http://hdl.handle.net/10.1007/s10203-010-0104-9
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    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 33 (2010)
    Issue (Month): 2 (November)
    Pages: 149-167

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    Handle: RePEc:spr:decfin:v:33:y:2010:i:2:p:149-167
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    1. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer, vol. 71(2), pages 353-369, April.
    2. Mason, R. & Wright, S., 1999. "The effects of uncertainty on optimal consumption," Discussion Paper Series In Economics And Econometrics 9907, Economics Division, School of Social Sciences, University of Southampton.
    3. 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.
    4. Nicole El Karoui & Monique Jeanblanc-PicquƩ, 1998. "Optimization of consumption with labor income," Finance and Stochastics, Springer, vol. 2(4), pages 409-440.
    5. Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
    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. Toche, Patrick, 2005. "A tractable model of precautionary saving in continuous time," Economics Letters, Elsevier, vol. 87(2), pages 267-272, May.
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