충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제29권2호
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  • Pages.329-336
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  • 2016
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  • 1226-3524(pISSN)
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  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH

  • Lim, Byung Hwa (Department of Economics and Finance The University of Suwon)
  • 투고 : 2016.01.12
  • 심사 : 2016.05.09
  • 발행 : 2016.05.15
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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.

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참고문헌

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