Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Degree of Borrowing Constraints and Optimal Consumption and Investment under a General Utility Function

일반적 효용함수 하에서 대출제약의 정도와 최적 소비 및 투자

  • Shim, Gyoocheol (Department of Financial Engineering, School of Business, Ajou University)
  • 심규철 (아주대학교 경영대학 금융공학과)
  • Received : 2015.11.19
  • Accepted : 2015.12.18
  • Published : 2016.03.31
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Abstract

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.

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References

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