在红利支付情形下考虑负效用的消费投资问题

Optimal consumption portfolio and retirement problem with dividend-payment and disutility

研究了经济代理人面临红利支付和劳动负效用情形下投资与退休选择问题,其中考虑了风险资产派发红利及劳动会给经济代理人带来效用损失的情形.代理人享有退休选择权,退休决策使得代理人避免了劳动负效用,却必须要放弃工资收入.代理人效用来自消费,并且受劳动负效用的直接影响.利用动态规划的方法去解自由边值问题,得到了代理人临界财富水平和最优消费投资组合策略显示解.

This paper studies an agent？s consumption/portfolio and retirement problem,in which the dividend-pay-ment of risk assets as well as the utility loss from labor are considered. The agent has an option to retire from his work.Before retirement the agent receives labor income but suffers a utility loss due to work,however,by deciding to retire from work,he saves the utility loss but gives up labor income.The agent utility comes from consumption,which is directly influenced by utility loss due to labor. We obtain an explicit solution for the agent？s critical wealth level and optimal consumption/portfolio strategy by using dynamic programming methods to solve a free boundary value problem.