Discretionary stopping in an optimal consumption and portfolio seletion problem소비-투자 문제에서의 Discretionary stopping

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This thesis studies various discretionary stopping problems in a consumption and portfolio selection problem. The difference between the discretionary stopping problem and the classical consumption/investment problem is that the economic model allows the agent can stop freely before a prescribed time. Karatzas and Wang (2000) first studied a discretionary stopping problem in the context of optimal consumption and portfolio selection. Chapter 3 provides the theoretical motivation and its extension to the case where the economic agent has stochastic differential utility by using backward stochastic differential equations. As an application, Chapter 4 deals with the decision problem of a risk and ambiguous-averse agent with utility loss from active management to switch from active asset management to passive asset management. Chapter 5 studies the effect of the preference change in a discretionary stopping problem. Chapter 6 studies a problem of a wage earner to retire from work and to become a full-time investor.
Advisors
Kwak, Do-YoungresearcherKoo, Hyeng-Keunresearcher곽도영researcher구형건researcher
Description
한국과학기술원 : 수학전공,
Publisher
한국과학기술원
Issue Date
2004
Identifier
237505/325007  / 020005319
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수학전공, 2004.2, [ 108 p. ]

Keywords

소비-투자 문제; OPIMAL STOPPING; INVESTMENT PROBLEM; 최적화; DISCRETIONARY STOPPING; CONSUMPTION AND PORTFOLIO SELECTION

URI
http://hdl.handle.net/10203/41872
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=237505&flag=dissertation
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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