원문정보
초록
영어
We consider a continuous-time individual’s optimal portfolio selection problem under the endogenous liquidity constraints. The economic agent faces limited commitment so the endogenous liquidity constraints are expressed as an outside option to stop participating in the financial market. We derive closed-form solutions for the optimal policies and verify that the endogenous liquidity constraints induce an endogenous wealth boundary of default. More quantitative results are provided in the case of constant relative risk aversion (CRRA) utility. The dual value function of the agent contains an outside option premium that leads to a lower consumption and a lower investment in the risky asset, in particular when the wealth level becomes closer to the default boundary.
목차
1 Introduction
2 The Environment
2.1 The Financial Market
2.2 Endogenous Liquidity Constraints
3 Optimization Problem
3.1 Individual’s Optimization Problem
3.2 The Martingale Approach
4 Quantitative Analysis
5 Numerical Results
6 Conclusion
References