PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH

• 발행기관: 충청수학회
• 저자명: Byung Hwa Lim
• 간행물 정보: 『Journal of the Chungcheong Mathematical Society』Volume 29, No. 2, 329~336쪽, 전체 8쪽
• 주제분류: 자연과학 > 자연과학일반
• 파일형태: PDF
• 발행일자: 2016.05.30

국문 초록

The optimal portfolio choice problem with a stochastic income is considered in continuous-time framework. We provide a novel approach to treat the stochastic income when the market is complete. The developed method is useful to obtain closed-form solutions of the problems under borrowing constraints.

목차

1. Introduction

2. Environment

3. New approach

4. Borrowing constraint

키워드

portfolio selection stochastic income borrowing constraints CRRA utility.