We study optimal portfolio, consumption-leisure and retirement choice of an infinitely-lived economic agent whose instantaneous preference is characterized by a constant elasticity of substitution(CES) function of consumption and leisure. We integrate in one model the optimal...

Subsistence consumption and investment problems with bankruptcy are classic constrained stochastic optimal control problem in financial economic, where the consumption rate should be greater than a positive number and the investor faces a bankruptcy payment. We derive novel asymptotic solution...

In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function...

Real options are a type of investment choice that supports decision-makers in making better strategic management decisions while simultaneously reducing uncertainty in investments. In this paper, we present a new model to help investors handle uncertain investment environments flexibly. First,...