Optimal Consumption and Investment with Independent Stochastic Labor Income
(2024)
Journal Article
Bensoussan, A., & Park, S. (2024). Optimal Consumption and Investment with Independent Stochastic Labor Income. Mathematics of Operations Research, https://doi.org/10.1287/moor.2023.0119
We develop a new dynamic continuous-time model of optimal consumption and investment to include independent stochastic labor income. We reduce the problem of solving the Bellman equation to a problem of solving an integral equation. We then explicitl... Read More about Optimal Consumption and Investment with Independent Stochastic Labor Income.