Earticle

초록

영어

We consider a continuous-time individual’s optimal portfolio selection problem under the endogenous liquidity constraints. The economic agent faces limited commitment so the endogenous liquidity constraints are expressed as an outside option to stop participating in the financial market. We derive closed-form solutions for the optimal policies and verify that the endogenous liquidity constraints induce an endogenous wealth boundary of default. More quantitative results are provided in the case of constant relative risk aversion (CRRA) utility. The dual value function of the agent contains an outside option premium that leads to a lower consumption and a lower investment in the risky asset, in particular when the wealth level becomes closer to the default boundary.

목차

Abstract
 1 Introduction
 2 The Environment
  2.1 The Financial Market
  2.2 Endogenous Liquidity Constraints
 3 Optimization Problem
  3.1 Individual’s Optimization Problem
  3.2 The Martingale Approach
 4 Quantitative Analysis
 5 Numerical Results
 6 Conclusion
 References

저자

• Kyoung Jin Choi [ Haskayne School of Business, University of Calgary, Canada ]
• Byung Hwa Lim [ Graduate School of Financial Engineering, The University of Suwon, Republic of Korea ]
• Hyeng Keun Koo [ College of Business Adminstration, Ajou University, Republic of Korea ]

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330