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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2007.5
- 수록면
- 39 - 42 (4page)
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We consider the general optimization problem in which a working investor has liquidity constraints. We obtain the closed-form solutions for the utility maximization problem by the martingale approaches developed in Karatzas and Wang [14]. The retirement time is the optimal stopping time obtained by solving a variational inequality, which is a free boundary value problem. We follow the approaches of He and Pages [9] and Dybvig and Liu [7] for the liquidity constraints. The numerical results 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 for the case of the constant relative risk aversion(CRRA) utility function.
목차
ABSTRACT
INTRODUCTION
THE FINANCIAL MARKET AND THE OPTIMIZATION PROBLEM
ACKNOWLEDGEMENT
REFERENCES
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UCI(KEPA) : I410-ECN-0101-2009-410-014679651