원문정보
초록
영어
This paper investigates an Epstein-Zin type (1989, 1991) investors' optimal consumption and portfolio choice problem in the presence of transaction costs and liquidation shocks. We model the liquidation shocks as a Poisson process, which enforces the representative investors to liquidate their wealth in an illiquid asset. We calculate an average liquidity premium to transaction cost (LPTC) ratio with the steady state distribution and show that the liquidation shocks can signi cantly amplify the e ect of the transaction costs on the excess rate of return of the illiquid asset. Our further numerical analysis also demonstrates how the level of elasticity of intertemporal substitution, as well as relative risk aversion, a ects the investors' optimal trading behavior.
목차
1 Introduction
2 The Model
2.1 Financial Market
2.2 Wealth Process and Liquidation Shocks
2.3 Problem
3 Analytical Results in Optimum
4 Liquidity Shocks and Liquidity Premium
4.1 Steady State Distribution
4.2 The E ect of Risk Aversion and EIS Levels
5 Conclusion
Appendix
References