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PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
초록
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.
키워드
nonnegative wealth constraints; dynamic programming approach; CRRA utility; portfolio selection
- 제목
- PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
- 저자
- 신용현
- 발행일
- 2014-02
- 저널명
- 충청수학회지
- 권
- 27
- 호
- 1
- 페이지
- 145 ~ 149
- 언어
- ENG
- 출판사
- 충청수학회
- 발행국가
- 대한민국
- 분량
- 5 페이지
- ISSN
- E 2383-6245
P 1226-3524