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PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 신용현 | - |
| dc.date.available | 2021-02-22T10:54:56Z | - |
| dc.date.issued | 2014-02 | - |
| dc.identifier.issn | 1226-3524 | - |
| dc.identifier.issn | 2383-6245 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/6125 | - |
| dc.description.abstract | I consider the optimal consumption and portfolio se-lection problem with nonnegative wealth constraints using the dy-namic programming approach. I use the constant relative risk aver-sion (CRRA) utility function and disutility to derive the closed-formsolutions. | - |
| dc.format.extent | 5 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | 충청수학회 | - |
| dc.title | PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.doi | 10.14403/jcms.2014.27.1.145 | - |
| dc.identifier.bibliographicCitation | 충청수학회지, v.27, no.1, pp 145 - 149 | - |
| dc.citation.title | 충청수학회지 | - |
| dc.citation.volume | 27 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 145 | - |
| dc.citation.endPage | 149 | - |
| dc.identifier.kciid | ART001849132 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | nonnegative wealth constraints | - |
| dc.subject.keywordAuthor | dynamic programming approach | - |
| dc.subject.keywordAuthor | CRRA utility | - |
| dc.subject.keywordAuthor | portfolio selection | - |
| dc.identifier.url | http://koreascience.or.kr/article/JAKO201415642603263.page | - |
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