• Journal of applied mathematics & informatics
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• v.36 no.3_4
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• pp.301-306
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• 2018

I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.

• East Asian mathematical journal
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• v.34 no.3
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• pp.331-338
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• 2018

We investigate the optimal consumption and portfolio strategies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.

• Journal of the Chungcheong Mathematical Society
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• v.33 no.2
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• pp.293-300
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• 2020

In this paper we study an optimal consumption, investment and retirement time choice problem of an investor who receives labor income before her voluntary retirement. And we assume that there is a negative wealth constraint which is a general version of borrowing constraint. Using convex-duality method, we provide the closed-form solutions of the optimization problem.

• Journal of Distribution Science
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• v.17 no.9
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• pp.117-125
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• 2019

Purpose - We investigate how to increase consumer incentives to buy public offering funds, resulting in activating the public offering fund market. In particular, this study aims to find ways to expand diversity and to improve efficiency of public offering fund. The public fund market of Korea has been stagnant in recent years. However, the public offering fund market plays a very significant role in terms of consumer welfare. Since only a few wealthy investors can participate in the private equity market, the stagnation in the public offering fund market usually reduces the opportunity of consumer's buying funds thus ultimately affecting their future wealth. Research design, data, and methodology - To attain our purpose, the 'factor-based portfolio strategy' has been considered. It is an alternative portfolio strategy, which composites the advantages of the passive management and active management. For our empirical anaylsis, we used global stock distribution market data over the period of 1991 and 2016. Then we constructed portfolios based on firm-size, firm-value, and momentum. Finally, a regression model was set, then hypotheses were tested, analyzing the performances. Results - First, among the 15 factor-based portfolios of global, Europe, Asia-Pacific(ex Japan), US and Japan, in eight portfolios, positive excess returns are observed at 5% significance level. Further, there is another portfolio with positive excess return at 10% significance level. Second, most of the portfolios with significant excess performance show positive relationship with the market portfolio. However, the firm-value based portfolio in Asia-Pacific region shows no relationship, and the firm-value based portfolio in US shows negative relationship. Third, we confirmed that the two firm-value factor portfolios in Asia-Pacific region and US, not having positive relationship with market portfolio, provide significant excess returns. Conclusions - In this paper, we provide empirical evidences supporting that the factor-based portfolios expand the diversity of funds and improve the efficiency of investment performance. However, there is no guarantee that the efficiency will continue in the future. In addition, various constraints and costs must be considered. Nevertheless, our novel findings in the advanced financial market such as US and Asia-Pacific are very interesting and offers important implications.

• KDI Journal of Economic Policy
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• v.13 no.4
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• pp.31-57
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• 1991

Korean firms of all sizes, from virtually every industry, have used and are using the term "excessive competition" to describe the state of their industry and to call for government interventions. Moreover, the Korean government has frequently responded to such calls in various ways favorable to the firms, such as controlling entry, curbing capacity investments, or allowing collusion. Despite such interventions' impact on the overall efficiency on the Korean economy as well as on the wealth distribution among diverse groups of economic agents, the term "excessive competition", the basis for the interventions, has so far escaped rigorous scrutiny. The objective of this paper is to clarify the notion of "excessive competition" and "over-investment" which usually accompanies "excessive competition", and to examine the circumstances under which they might occur. We first survey the cases where the terms are most widely used and proceed to examine those cases to determine if competition is indeed excessive, and if so, what causes "excessive competition". Our main concern deals with the case in which the firms must make investment decisions that involve large sunk costs while facing uncertain demand. In order to analyze this case, we developed a two period model of capacity precommitment and the ensuing competition. In the first period, oligopolistic firms make capacity investments that are irreversible. Demand is uncertain in period 1 and only the distribution is known. Thus, firms must make investment decisions under uncertainty. In the second period, demand is realized, and the firms compete with quantity under realized demand and capacity constraints. In the above setting, we find that there is "no over-investment," en ante, and there is "no excessive competition," ex post. As measured by the information available in period 1, expected return from investment of a firm is non-negative, overall industry capacity does not exceed the socially optimal level, and competition in the second period yields an outcome that gives each operating firm a non-negative second period profit. Thus, neither "excessive competition" nor "over-investment" is possible. This result will generally hold true if there is no externality and if the industry is not a natural monopoly. We also extend this result by examining a model in which the government is an active participant in the game with a well defined preference. Analysis of this model shows that over-investment arises if the government cannot credibly precommit itself to non-intervention when ex post idle capacity occurs, due to socio-political reasons. Firms invest in capacities that exceed socially optimal levels in this case because they correctly expect that the government will find it optimal for itself to intervene once over-investment and ensuing financial problems for the firms occur. Such planned over-investment and ensuing government intervention are the generic problems under the current system. These problems are expected to be repeated in many industries in years to come, causing a significant loss of welfare in the long run. As a remedy to this problem, we recommend a non-intervention policy by the government which creates and utilizes uncertainty. Based upon an argument which is essentially the same as that of Kreps and Wilson in the context of a chain-store game, we show that maintaining a consistent non-intervention policy will deter a planned over-investment by firms in the long run. We believe that the results obtained in this paper has a direct bearing on the public policies relating to many industries including the petrochemical industry that is currently in the center of heated debates.