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재산 의존적 투자기회 하에서 최적 은퇴시점 및 포트폴리오 결정
- Alternative Title
- Bae Gi Pyo
- Author(s)
- 배기표
- Alternative Author(s)
- Bae Gi Pyo
- Advisor
- 심규철
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2019-02
- Language
- eng
- Alternative Abstract
- We study how the optimal consumption/investment choice of an infinitely living economic agent with a constant relative risk aversion utility. A special thing in my problem is the investor has option to retire and supposition that there exists better investment opportunity after some explicit wealth level. Before retirement agent receives labor income but also receives disutility from labor. Agent retires as soon as his wealth level reaches to optimal retirement wealth level than he can escape form disutility from labor. Also the agent has more assets to invest after some investment opportunity change threshold and losses the opportunity if his wealth falls below the threshold. We show that how optimal retirement wealth level in two cases. First case is when the agent retires before the investment opportunity change threshold and the other is second case. we also derive a how the optimal consumption/investment changes near the optimal retirement wealth level and investment opportunity change threshold.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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