Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
- Authors
- 신용현
- Issue Date
- Feb-2013
- Publisher
- 충청수학회
- Keywords
- regime-switching; CARA utility; portfolio optimization
- Citation
- 충청수학회지, v.26, no.1, pp 85 - 90
- Pages
- 6
- Journal Title
- 충청수학회지
- Volume
- 26
- Number
- 1
- Start Page
- 85
- End Page
- 90
- ISSN
- 1226-3524
2383-6245
- Abstract
- We use the dynamic programming method to investi-gate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with con-stant absolute risk aversion (CARA) utility.
- 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.