임병화 교수

In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function under borrowing constraints. Moreover, we apply the results to the special utility function, the constant relative risk-aversion utility function, and the numerical results suggest that the restriction to bor

We consider a consumption, investment, life insurance, and retirement decision problem in which an economic agent is allowed to borrow against only a part of future income. The closed-form solution is attained by applying a dual approach that directly imposes the conditions for the borrowing limit on a dual value function. We provide analytic comparative statics for optimal strategies with rigorous proofs. It is confirmed that a more stringent borrowing limit leads to less consumption and less l

This paper considers a portfolio selection problem with a quadratic utility of consumption, which is symmetric with respect to a bliss point. At bliss point, the utility function has its maximum value and further consumption lowers the utility. In the presence of inflation risk, we introduce an inflation-linked index bond to manage the inflation risk and derive explicit expressions for the optimal consumption and portfolios by applying duality method. Based on quantitative results, we see that i

Neuromyelitis optica spectrum disorder (NMOSD) is an autoimmune diseases of the central nervous system, and often influence optic nerve and medulla oblongata. Previous studies found out that brain abnormalities were not rare in these patients. Medulla oblongata (MO) was commonly involved and usually located at dorsal part. Patients who diagnosed NMOSD with MO lesions were more likely to have dysphagia. Previous reports indicated that the symptoms and signs of NMOSD patients could be controlled a

The optimal portfolio selection problem under inflation risk and subsistence constraints is considered. There are index bonds to invest in financial market and it helps to hedge the inflation risk. By applying the martingale method, the optimal consumption rate and the optimal portfolios are obtained explicitly. Furthermore, the quantitative effect of inflation risk and subsistence constraints on the optimal polices are also described.

This paper derives an equilibrium asset price when there exist three kinds of traders in financial market: a risk-averse informed trader, noise traders, and risk neutral market makers. This paper is an extended version of Kyle's (1985, Econometrica) continuous time model by introducing insider's risk aversion. We obtain not only the equilibrium asset pricing and market depth parameter but also insider's value function and optimal insider's trading strategy explicitly. The comparative static show