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초록
영어
In this paper we consider general consumption, portfolio and retirement optimization problems in which a working investor has liquidity constraints. Closed-form solutions are obtained for the utility maximization problems and numerical procedures are given for the general utility function under the liquidity constraints. The numerical results for a special utility function, for example, the constant relative risk aversion(CRRA) utility function, suggest that the restriction to borrow future income makes the investor retire in a lower critical wealth level than in the case of no liquidity constraints.
목차
Abstract
1 Introduction
2 The Financial Market Setup
3 The Optimization Problem
4 The Optimal Values
5 Optimal Policies Under a CRRA Utility Class (Numerical Approaches)
6 Concluding Remarks
A Duality Approaches
B Solutions to the Problem
C Proof of Theorem 4.2
References
1 Introduction
2 The Financial Market Setup
3 The Optimization Problem
4 The Optimal Values
5 Optimal Policies Under a CRRA Utility Class (Numerical Approaches)
6 Concluding Remarks
A Duality Approaches
B Solutions to the Problem
C Proof of Theorem 4.2
References
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자료제공 : 네이버학술정보