상세 보기
PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
Citations
WEB OF SCIENCE
0Citations
SCOPUS
0초록
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