AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH LABOR INCOME AND REGIME SWITCHING

• 발행기관: 충청수학회
• 저자명: Yong Hyun Shin
• 간행물 정보: 『Journal of the Chungcheong Mathematical Society』Volume 27, No. 2, 219~225쪽, 전체 7쪽
• 주제분류: 자연과학 > 자연과학일반
• 파일형태: PDF
• 발행일자: 2014.05.30

영문 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.

목차

1. Introduction

2. The ¯nancial market

3. The optimization problem