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Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints. (English) Zbl 1175.91162

This paper considers the general optimal consumption-portfolio decision problem with subsistence consumption constraints.
The authors obtain explicit forms of the optimal policies using a martingale method and a variational inequality and characterize properties of the optimal policies.
They also present some numerical results of the optimal consumption and portfolio in the special case of constant relative risk aversion (CRRA) utility class.

MSC:

91G10 Portfolio theory
91G80 Financial applications of other theories
91B70 Stochastic models in economics
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