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Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints./
Author:	Dai, Liang.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
Description:	230 p.
Notes:	Source: Dissertations Abstracts International, Volume: 83-04, Section: B.
Contained By:	Dissertations Abstracts International83-04B.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28768061
ISBN:	9798460424955

Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints.
Dai, Liang.

Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 230 p.

Source: Dissertations Abstracts International, Volume: 83-04, Section: B.

Thesis (Ph.D.)--Boston University, 2021.

This item must not be sold to any third party vendors.

The paper studies the life cycle optimal consumption-investment problem under a liquidity constraint (the liquid wealth process never becomes negative). For Cobb-Douglas utility, we first derive closed-form expressions for optimal consumption and investment strategy using a stopping time approach and then extend this framework to deal with the fixed leisure choice case. We also pose and solve three alternative models of optimal consumption, leisure and investment with various liquidity constraints. In addition, we obtain analytical comparative statics. We examine whether the cohort effects matter with the presence of liquidity constraints. In particular, we identify individuals who experienced low stock market returns are less willing to invest in equities and express more risk aversion. Finally, we analyze economic cost of the liquidity constraint in terms of certainty equivalent. Implications of liquidity constraints for optimal policies differ considerably from what are shown in the existing literature without liquidity constraints.

ISBN: 9798460424955Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Consumption-investment problem

Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints.
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100 1 $a Dai, Liang. $3 3182564
245 1 0 $a Lifecycle Consumption-Investment Policies with Liquid Wealth Constraints.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 230 p.
500 $a Source: Dissertations Abstracts International, Volume: 83-04, Section: B.
500 $a Advisor: Rindisbacher, Marcel.
502 $a Thesis (Ph.D.)--Boston University, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a The paper studies the life cycle optimal consumption-investment problem under a liquidity constraint (the liquid wealth process never becomes negative). For Cobb-Douglas utility, we first derive closed-form expressions for optimal consumption and investment strategy using a stopping time approach and then extend this framework to deal with the fixed leisure choice case. We also pose and solve three alternative models of optimal consumption, leisure and investment with various liquidity constraints. In addition, we obtain analytical comparative statics. We examine whether the cohort effects matter with the presence of liquidity constraints. In particular, we identify individuals who experienced low stock market returns are less willing to invest in equities and express more risk aversion. Finally, we analyze economic cost of the liquidity constraint in terms of certainty equivalent. Implications of liquidity constraints for optimal policies differ considerably from what are shown in the existing literature without liquidity constraints.
590 $a School code: 0017.
650 4 $a Finance. $3 542899
650 4 $a Mathematics. $3 515831
653 $a Consumption-investment problem
653 $a Liquidity constraint
653 $a Cobb-Douglas utility
653 $a Cohort effects
653 $a Risk aversion
690 $a 0508
690 $a 0405
710 2 $a Boston University. $b Mathematical Finance QSB. $3 3541304
773 0 $t Dissertations Abstracts International $g 83-04B.
790 $a 0017
791 $a Ph.D.
792 $a 2021
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28768061