재무연구 제 권 호 (2008년 5월)
Asian Review of Financial Research, Vol., No..
pp.1962~1988
pp.1962~1988
Optimal Investment, Consumption and Retirement Decision with Disutility and Liquidity Constraints
Byung Hwa Lim Department of Mathematical Science, KAIST, Daejeon, 305701, Republic of Korea
Yong Hyun Shin Financial Engineering Research Center(FERC), KAIST Business School, Seoul, 130722, Republic of Korea.
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.
Byung Hwa Lim
Yong Hyun Shin
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.
Liquidity constraints,general utility function,consumption,portfolio selection,retirement,disutility,labor income
