Earticle

초록

영어

We investigate the individual optimal consumption and investment problem under the timevarying liquidity constraint (TVLC), which is motivated by the U.S. data. When the agent has a constant relative risk aversion utility function, we provide the closed-form solution by a duality approach and characterize the optimal policies. The implications of the stochastic borrowing constraints for the optimal policies and implied wealth dynamics dier considerably from what has been shown in the previous literature on the xed borrowing limit such as the non-negative wealth constraint. We nd that the investment in the risky asset can be greater than the investment without any borrowing constraints due to the eect of the liquidity hedging demand. Remarkably, a risk-averse agent can rationally exhibit a locally risk-loving behavior when his/her wealth level approaches the borrowing limit. Moreover, as the income level increases, the impact of TVLC on the risky investment is not negligible, and in fact, becomes larger, even though the agent's credit limit under TVLC is higher for a higher level of income.

목차

Abstract
 1 Introduction
 2 Market Environment
 3 The Optimization Problems
 4 The Analytic Solutions
  4.1 Benchmark Case
  4.2 Time-Varying Liquidity Constraints
  4.3 Optimal Policies and Wealth Dynamics near the Credit Limit
 5 Implications for Optimal Policies
 6 Conclusion
 References
 Appendix

키워드

저자

• Seryoong Ahn [ Department of Industrial and Management Engineering, Pohang University of Science and Technology, Republic of Korea ]
• 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 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330