상세 보기
OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
Citations
WEB OF SCIENCE
0Citations
SCOPUS
0초록
We use the dynamic programming method to investi-gate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with con-stant absolute risk aversion (CARA) utility.
키워드
regime-switching; CARA utility; portfolio optimization
- 제목
- OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
- 저자
- 신용현
- 발행일
- 2013-02
- 저널명
- 충청수학회지
- 권
- 26
- 호
- 1
- 페이지
- 85 ~ 90