This paper presents an entrepreneurial optimal business plan in which optimal consumption and portfolio rules, and optimal exit strategy for an entrepreneur are jointly determined in the presence of undiversi able idiosyncratic risk. We nd that the entrepreneur is more likely to exit from her risky business as investment opportunity worsens or as her risk aversion coecient increases or as the idiosyncratic risk increases. When
the entrepreneur decumulates wealth, she can achieve a partial hedging effect of a risky portfolio against the business risk by optimally increasing her risky portfolio as the idiosyncratic risk increases. Accordingly, stock market participation is of importance to the entrepreneur for the purpose of risk diversification and a smooth continuation of her risky business.
학회소식
공지사항
[2015년 제 2차] Entrepreneurial Business Plan under Undiversifiable
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게시일 :
2015-06-03