Title   name
2007년 KSIAM 봄 학술대회
 
  Title
  Speaker   Lim, Byung Hwa  
  Date 2007-05-25
  Host
  Place KAIST
  File  의 1 번째 Real Media 동영상입니다. 의 1 번째 강연자료입니다.
 
Abstract : 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 martingaleapproaches developed in Karatzas and Wang [14]. The retirement time is the optimalstopping time obtained by solving a variational inequality, which is a free boundary value problem.We follow the approaches of He and Pag`es [9] and Dybvig and Liu [7] for the liquidityconstraints. The numerical results suggest that the restriction to borrow future income makesthe investor retire in a lower critical wealth level than in the case of no liquidity constraints forthe case of the constant relative risk aversion(CRRA) utility function.