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Degree of Borrowing Constraints and Optimal Consumption and Investment under a General Utility Function
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  • Journal title : Korean Management Science Review
  • Volume 33, Issue 1,  2016, pp.77-87
  • Publisher : The Korean Operations and Management Science Society
  • DOI : 10.7737/KMSR.2016.33.1.077
 Title & Authors
Degree of Borrowing Constraints and Optimal Consumption and Investment under a General Utility Function
Shim, Gyoocheol;
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I study optimal consumption and investment choices of an infinitely-lived economic agent with a general time-separable von Neumann-Morgenstern utility under general borrowing constraints against future labor income. An explicit solution is provided by the dynamic programming method. It is shown that the optimal consumption and risky investment decrease as the borrowing constraints become stronger.
Degree of Borrowing Constraints;Consumption;Investment;Labor Income;
 Cited by
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박세영, 이현탁, 이유나, 장봉규, "경기주기와 베이지안 학습(Bayesian learning) 기법을 고려한 개인의 자산관리 연구", 한국경영과학회지, 제39권, 제2호(2014), pp.49-66.

최재호, 정종빈, 김성문, "마코위츠 포트폴리오 선정 모형을 기반으로 한 투자 알고리즘 개발 및 성과평가 :미국 및 홍콩 주식시장을 중심으로", 경영과학, 제30권, 제1호(2013), pp.73-89.

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