[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14403/jcms.2013.26.3.571

OPTIMAL PORTFOLIO WITH A WAGE INCREASE

Lee, Ho-Seok (FX & Derivatives Trading Div. Korea Exchange Bank)

Publication Information

Journal of the Chungcheong Mathematical Society / v.26, no.3, 2013 , pp. 571-576 More about this Journal

Abstract

In this paper, we solve the optimal investment problem when the investor gets labor income and may have a wage increase. We assume the investor has constant absolute risk aversion(CARA) utility and obtain closed form solutions.

Keywords

portfolio optimization; CARA utility; Hamilton-Jacobi-Bellman equation;

Citations & Related Records

Reference

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