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An optimal consumption and investment problem with labor income and regime switching
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신용현
Article
Issue Date
2014
Citation
충청수학회지, v.27, no.2, pp 219 - 225
Publisher
충청수학회
PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
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신용현
Article
Issue Date
2014
Citation
충청수학회지, v.27, no.1, pp 145 - 149
Publisher
충청수학회
PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES
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신용현
Article
Issue Date
2012
Citation
충청수학회지, v.25, no.2, pp 277 - 281
Publisher
충청수학회
OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
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신용현
Article
Issue Date
2013
Citation
충청수학회지, v.26, no.1, pp 85 - 90
Publisher
충청수학회
European contingent claims valuation under regime switching using the Mellin transform approach
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Ho-Seok Lee;
신용현
Article
Issue Date
2015
Citation
충청수학회지, v.28, no.1, pp 89 - 95
Publisher
충청수학회
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Author
Ho-Seok Lee
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CARA utility
2
CRRA utility
2
portfolio selection
2
regime-switching
2
dynamic programming approach
1
European contingent claims
1
labor income
1
Mellin transforms.
1
nonnegative wealth constraints
1
portfolio optimization
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