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http://dx.doi.org/10.14403/jcms.2012.25.2.277

PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES  

Shin, Yong Hyun (Department of Mathematics Sookmyung Women's University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.25, no.2, 2012 , pp. 277-281 More about this Journal
Abstract
I study an optimal consumption and portfolio selection problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I obtain optimal solutions in closed-form.
Keywords
Regime-switching; CRRA utility; portfolio selection;
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