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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
An optimal consumption and investment problem with quadratic utility and negative wealth constraints, Journal of Inequalities and Applications, 2017, 2017, 1  crossref(new windwow)
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