Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
An optimal consumption and investment problem with labor income and regime switching
- Authors
- 신용현
- Issue Date
- May-2014
- Publisher
- 충청수학회
- Keywords
- regime-switching; labor income; CARA utility; portfolio selection
- Citation
- 충청수학회지, v.27, no.2, pp 219 - 225
- Pages
- 7
- Journal Title
- 충청수학회지
- Volume
- 27
- Number
- 2
- Start Page
- 219
- End Page
- 225
- ISSN
- 1226-3524
2383-6245
- Abstract
- I use the dynamic programming approach to study the optimal consumption and investment problem with regime-switching and constant labor income. I derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility and constant disutility.
- Files in This Item
- Go to Link
- Appears in
Collections - 이과대학 > 수학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.