Earticle

초록

영어

This paper presents an entrepreneurial optimal business plan in which optimal con- sumption and portfolio rules, and optimal exit strategy for an entrepreneur are jointly determined in the presence of undiversiable idiosyncratic risk. We nd that the en- trepreneur is more likely to exit from her risky business as investment opportunity worsens or as her risk aversion coecient increases or as the idiosyncratic risk increases. When the entrepreneur decumulates wealth, she can achieve a partial hedging eect of a risky portfolio against the business risk by optimally increasing her risky portfolio as the id- iosyncratic risk increases. Accordingly, stock market participation is of importance to the entrepreneur for the purpose of risk diversication and a smooth continuation of her risky business.

목차

Abstract
 1 Introduction
 2 The Model
  2.1 The Financial Market
  2.2 Undiversiable Idiosyncratic Risk
  2.3 A Business Plan
  2.4 Optimal Exit Time from Risky Business
 3 Numerical Implications
 4 Conclusion
 5 Appendix
  5.1 Details of Deriving Optimal Strategies
  5.2 Iterative Algorithm and Convergence
  5.3 Various Properties of Convex-Dual Function G
  5.4 Proofs of Lemmas and Theorems
  5.5 A Consumption-Saving Model
 References

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Korea ]
• Hyun-Tak Lee [ Department of Industrial and Management Engineering, POSTECH, Korea ]
• Seyoung Park [ The Credit Finance Research Institute, The Credit Finance Association of Korea and The Department of Industrial and Management Engineering, POSTECH, Korea ]

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  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330