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PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES
- Authors
- 신용현
- Issue Date
- May-2012
- Publisher
- 충청수학회
- Keywords
- Regime-switching; CRRA utility; portfolio selection.
- Citation
- 충청수학회지, v.25, no.2, pp 277 - 281
- Pages
- 5
- Journal Title
- 충청수학회지
- Volume
- 25
- Number
- 2
- Start Page
- 277
- End Page
- 281
- ISSN
- 1226-3524
2383-6245
- Abstract
- I study an optimal consumption and portfolio selec-tion problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I ob-tain optimal solutions in closed-form.
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