A closed-form solution for the continuous-time consumption model with endogenous labor income
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Volume (Year): 33 (2010)
Issue (Month): 2 (November)
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- Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992.
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- 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.
- 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.
- Nicole El Karoui & Monique Jeanblanc-Picqué, 1998. "Optimization of consumption with labor income," Finance and Stochastics, Springer, vol. 2(4), pages 409-440.
- Toche, Patrick, 2005. "A tractable model of precautionary saving in continuous time," Economics Letters, Elsevier, vol. 87(2), pages 267-272, May.
- 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.
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