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An optimal consumption and investment problem with labor income and regime switching
초록
I use the dynamic programming approach to study the optimal consumption and investment problem with regime-switching and constant labor income. I derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility and constant disutility.
키워드
regime-switching; labor income; CARA utility; portfolio selection
- 제목
- An optimal consumption and investment problem with labor income and regime switching
- 저자
- 신용현
- 발행일
- 2014-05
- 저널명
- 충청수학회지
- 권
- 27
- 호
- 2
- 페이지
- 219 ~ 225
- 언어
- ENG
- 출판사
- 충청수학회
- 발행국가
- 대한민국
- 분량
- 7 페이지
- ISSN
- E 2383-6245
P 1226-3524