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PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES

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dc.contributor.author신용현-
dc.date.available2021-02-22T13:01:38Z-
dc.date.issued2012-05-
dc.identifier.issn1226-3524-
dc.identifier.issn2383-6245-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/12240-
dc.description.abstractI 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.-
dc.format.extent5-
dc.language영어-
dc.language.isoENG-
dc.publisher충청수학회-
dc.titlePORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES-
dc.typeArticle-
dc.publisher.location대한민국-
dc.identifier.bibliographicCitation충청수학회지, v.25, no.2, pp 277 - 281-
dc.citation.title충청수학회지-
dc.citation.volume25-
dc.citation.number2-
dc.citation.startPage277-
dc.citation.endPage281-
dc.identifier.kciidART001661136-
dc.description.isOpenAccessN-
dc.description.journalRegisteredClasskci-
dc.subject.keywordAuthorRegime-switching-
dc.subject.keywordAuthorCRRA utility-
dc.subject.keywordAuthorportfolio selection.-
dc.identifier.urlhttps://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART001661136-
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