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PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES
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0초록
I study an optimal consumption and portfolio selec-tion problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I ob-tain optimal solutions in closed-form.
키워드
Regime-switching; CRRA utility; portfolio selection.
- 제목
- PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES
- 저자
- 신용현
- 발행일
- 2012-05
- 저널명
- 충청수학회지
- 권
- 25
- 호
- 2
- 페이지
- 277 ~ 281