Date | 2018-10-23 |
---|---|

Speaker | 신용현 |

Dept. | 숙명여대 |

Room | 129-310 |

Time | 17:00-18:00 |

Talk1: Optimal Consumption and Portfolio Selection in the Presence of a Luxury Good

We study optimal consumption and portfolio policies when there exist two categories

of goods, necessities and luxuries. We derive a closed form solution for optimal con-

sumption of each good and the portfolio. We show that the agent consumes mostly

necessities when her wealth level is low but luxuries when the wealth level is high

enough. We also show that her revealed relative risk aversion is close to the elasticity

of marginal utility of necessities when wealth is low, but it decreases and approaches

the elasticity of marginal utility of luxuries as wealth increases.

This is a joint work with Prof. Hyeng Keun Koo (Ajou Univ.), Dr. Jung Lim Koo

(Univ. of Texas, Austin), and Prof. Gyoocheol Shim (Ajou Univ.).

Talk2: Optimal Consumption/Investment and Retirement with Necessities and Luxuries

We study an optimal consumption of necessity and luxury, investment, and volun-

tary retirement choice model. The utility function in the objective function is given

by the weighted sum of a quadratic utility function and a HARA utility function. We

use the martingale method to derive a closed form solution for optimal consumption

of necessity and luxury, and investment. We also give some numerical implications.

This is a joint work with Prof. Hyeng Keun Koo (Ajou Univ.), and Prof. Kum-Hwan

Roh (Hannam Univ.).

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