PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신용현 | - |
dc.date.available | 2021-02-22T13:01:38Z | - |
dc.date.issued | 2012-05 | - |
dc.identifier.issn | 1226-3524 | - |
dc.identifier.issn | 2383-6245 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/12240 | - |
dc.description.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. | - |
dc.format.extent | 5 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | 충청수학회 | - |
dc.title | PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.bibliographicCitation | 충청수학회지, v.25, no.2, pp 277 - 281 | - |
dc.citation.title | 충청수학회지 | - |
dc.citation.volume | 25 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 277 | - |
dc.citation.endPage | 281 | - |
dc.identifier.kciid | ART001661136 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Regime-switching | - |
dc.subject.keywordAuthor | CRRA utility | - |
dc.subject.keywordAuthor | portfolio selection. | - |
dc.identifier.url | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART001661136 | - |
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