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OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 신용현 | - |
| dc.date.available | 2021-02-22T12:32:06Z | - |
| dc.date.issued | 2013-02 | - |
| dc.identifier.issn | 1226-3524 | - |
| dc.identifier.issn | 2383-6245 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/11744 | - |
| dc.description.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. | - |
| dc.format.extent | 6 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | 충청수학회 | - |
| dc.title | OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY | - |
| dc.type | Article | - |
| dc.publisher.location | South Korea | - |
| dc.identifier.bibliographicCitation | 충청수학회지, v.26, no.1, pp 85 - 90 | - |
| dc.citation.title | 충청수학회지 | - |
| dc.citation.volume | 26 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 85 | - |
| dc.citation.endPage | 90 | - |
| dc.identifier.kciid | ART001741702 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | regime-switching | - |
| dc.subject.keywordAuthor | CARA utility | - |
| dc.subject.keywordAuthor | portfolio optimization | - |
| dc.identifier.url | http://scholar.dkyobobook.co.kr/searchDetail.laf?barcode=4010025974923 | - |
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