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재산 의존적 투자기회 하에서 최적 은퇴시점 및 포트폴리오 결정
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 심규철 | - |
| dc.contributor.author | 배기표 | - |
| dc.date.accessioned | 2019-04-01T16:40:33Z | - |
| dc.date.available | 2019-04-01T16:40:33Z | - |
| dc.date.issued | 2019-02 | - |
| dc.identifier.other | 28594 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/14897 | - |
| dc.description | 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2019. 2 | - |
| dc.description.tableofcontents | 1. Introduction‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧1 2. The model‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧4 3. Derivation of the Solution‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧7 CaseA) When the RT is less than the IOT‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧7 CaseB) When the RT is greater than the IOT‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧16 4. Conclusion‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧22 Reference ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧25 초록‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧26 | - |
| dc.language.iso | eng | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | 재산 의존적 투자기회 하에서 최적 은퇴시점 및 포트폴리오 결정 | - |
| dc.title.alternative | Bae Gi Pyo | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Bae Gi Pyo | - |
| dc.contributor.department | 일반대학원 금융공학과 | - |
| dc.date.awarded | 2019. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.localId | 905520 | - |
| dc.identifier.uci | I804:41038-000000028594 | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/common/orgView/000000028594 | - |
| dc.description.alternativeAbstract | 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. | - |
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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