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http://dx.doi.org/10.14403/jcms.2014.27.2.219

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

Shin, Yong Hyun (Department of Mathematics Sookmyung Women's University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.27, no.2, 2014 , pp. 219-225 More about this Journal
Abstract
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.
Keywords
regime-switching; labor income; CARA utility; portfolio selection;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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