An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach.

In this paper, we study an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility function. Using the dynamic programming method, we obtain the value function and optimal investment, consumption, leisure, and retirement strategies in analytic form. Numerically we observe that the threshold retirement wealth level is an increasing function with respect to the elasticity of substitution. [ABSTRACT FROM AUTHOR]