• 충청수학회지
• /
• 제33권1호
• /
• pp.103-112
• /
• 2020

This paper investigates the portfolio selection problem with flexible labor choice and stochastic income flow where the unit wage flow is governed by a stochastic process. The agent optimally chooses consumption, investment, and labor supply. We derive the closed-form solution by applying a martingale method even with the stochastic income flow.

• 충청수학회지
• /
• 제29권2호
• /
• pp.329-336
• /
• 2016

The optimal portfolio choice problem with a stochastic income is considered in continuous-time framework. We provide a novel approach to treat the stochastic income when the market is complete. The developed method is useful to obtain closed-form solutions of the problems under borrowing constraints.

• 경영과학
• /
• 제11권2호
• /
• pp.29-41
• /
• 1994

This paper analyses the stochastic nature of the Permanent Income Hypothesis (PIH) by specifying the variance-covariance structure of PIH based on Hall and Mishkin[3]. Maximum likelihood is employed to estimate the model by explicitely incorporating the heteroscedastic nature of the data into the likelihood. The data used are individual Korean household consumption and income data. The results indicate that the data are generally consistent with the Permanent Income Hypothesis, and about 11 percent of the total variation in consumption may be attributable to the excess sensitivity of consumption to income.

• 충청수학회지
• /
• 제32권2호
• /
• pp.215-224
• /
• 2019

We investigate the optimal consumption and investment decision problem of an agent whose time preference is time-inconsistent. Specifically, for a time-separable utility function, the agent's subjective discount factor is supposed to be changed randomly in the future. We provide closed-form solutions in the presence of income process. The method can be extended into the case with a stochastic income process.

• 충청수학회지
• /
• 제31권1호
• /
• pp.65-73
• /
• 2018

We investigate the optimal consumption and investment problem of working agent who faces tax system on consumption, labor income, savings and investment. By applying martingale method, we obtain the closed-form solutions so it is possible to verify the effect of tax system analytically.

• 자원ㆍ환경경제연구
• /
• 제30권3호
• /
• pp.471-501
• /
• 2021

본 연구는 투입물 거리함수에 의한 메타확률 프런티어 방법을 사용하여 1998년부터 2018년까지 4개 소득그룹의 이산화탄소 기준의 환경효율성(EE)을 측정하였다. 에너지 소비가 이산화탄소 배출을 증가시키고, 노동과 자본투입을 증가하면 이산화탄소 배출을 감소시킬 것임을 보여주고 있다. 또한 그룹환경효율성(GEE: Group Environmental Efficiency), 메타환경효율성(MEE: Meta Environmental Efficiency) 및 환경격차(EGR: Environmental Gap Ratio)를 비교하였다. 결과는 GEE가 과대평가되고 MEE는 이 기간 동안 하향세를 보여주고 있다. 중하위 소득그룹의 EGR은 가장 높았다. 그리고 고소득 및 중상위 소득그룹의 MEE 및 EGR이 상대적으로 낮았다. 환경효율성을 높이려면 화석에너지를 저감하고 기준 환경 문제를 해결하는 방법이 보다 과학적이고 기술적인 방법을 찾아 필요가 있음을 시사한다.

• Communications for Statistical Applications and Methods
• /
• 제28권2호
• /
• pp.171-188
• /
• 2021

Due to an increased demand for longevity risk analysis, various stochastic models have been suggested to evaluate uncertainly in estimated life expectancy and the associated value of future annuity payments. Recently updated data allow us to analyze mortality for a longer historical period and extended age ranges. This study followed up previous case studies using up-to-date empirical data on Korean mortality and the recently developed R package StMoMo for stochastic mortality models analysis. The suitability of stochastic mortality models, focusing on retirement ages, was investigated with goodness-of-fit, validity of models, and ability of generating reasonable sets of simulation paths of future mortality. Comparisons were made across various types of models. Based on the selected models, the variability of important estimated measures associated with pension, annuity, and reverse mortgage were quantified using simulations.

• East Asian Economic Review
• /
• 제21권3호
• /
• pp.201-230
• /
• 2017

This paper studies the long-run behavior of relative price dispersion among cities in Korea with a special emphasis on heterogeneous transitional patterns of price level dynamics. Formal statistical tests indicate considerable evidence for rejecting the null of relative price level convergence among the majority of cities over the sample period of 1985-2015. The analysis of gravity model suggests that the effect of transportation costs on intercity price level differentials is limited, while other socioeconomic factors, such as income, input factor prices, demographic structure, and housing price growth, play key roles in accounting for persistent regional price level disparities. Individual price levels are found to be better explained by a multiple-component model, and the deviations from PPP may be attributed to distinct stochastic common trends that are characterized by income and demographic structure.

• Structural Engineering and Mechanics
• /
• 제32권1호
• /
• pp.147-165
• /
• 2009

This study proposes a certain measure or investment strategy for decision making associated with seismic retrofitting. This strategy reduces the risk of a large-scale malfunction such as water supply loss under seismic risks. The authors developed a stochastic value index that will be used in the overall evaluation of social benefit, income gain, life cycle costs and failure compensation associated with existing lifeline systems damaged by an earthquake during the remaining service period. Optimal seismic disaster prevention investment of deteriorated lifeline systems is discussed. Finally, the present study provides a performance-based design method for seismic retrofitting strategies of existing lifelines which are carried out using the target probabilities of value loss and structural failure.

• Journal of applied mathematics & informatics
• /
• 제15권1_2호
• /
• pp.109-126
• /
• 2004

This paper deals with two problems of optimal portfolio strategies in continuous time. The first one studies the optimal behavior of a firm who is forced to withdraw funds continuously at a fixed rate per unit time. The second one considers a firm that is faced with an uncontrollable stochastic cash flow, or random risk process. We assume the firm's income can be obtained only from the investment in two assets: a risky asset (e.g., stock) and a riskless asset (e.g., bond). Therefore, the firm's wealth follows a stochastic process. When the wealth is lower than certain legal level, the firm goes bankrupt. Thus how to invest is the fundamental problem of the firm in order to avoid bankruptcy. Under the case of different lending and borrowing rates, we obtain the optimal portfolio strategies for some reasonable objective functions that are the piecewise linear functions of the firm's current wealth and present some interesting proofs for the conclusions. The optimal policies are easy to be operated for any relevant investor.