한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2003년도 춘계 학술발표회 논문집
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- Pages.43-48
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- 2003
A WEALTH-DEPENDENT INVESTMENT OPPORTUNITY SET: ITS EFFECT ON OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS
- Choi, Sung-Sub (Department of Mathematics, Pohang University of Science and Technology) ;
- Koo, Hyeng-Keun (School of Business Administration, Ajou University) ;
- Shim, Gyoo-Cheol (Department of Mathematics, Pohang University of Science and Technology) ;
- Zariphopoulou, Thaleia (Department of Mathematics, University of Texas)
- 발행 : 2003.05.23
초록
We consider a consumption and investment problem where an investor's investment opportunity gets enlarged when she becomes rich enough, i.e., when her wealth touches a critical level. We derive optimal consumption and investment rules assuming that the investor has a time-separable von Neumann-Morgenstern utility function. An interesting feature of optimal rules is that the investor consumes less and takes more risk in risky assets if the investor expects that she will have a better investment opportunity when her wealth reaches a critical level.
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