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.
학술대회/행사
학술대회안내
[2008년 제 2차] Optimal Investment, Consumption and Retirement Deci
작성자 : 관리자
조회수 : 768
게시일 :
2008-05-30
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