• Journal of the Chungcheong Mathematical Society
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• v.27 no.2
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• pp.219-225
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• 2014

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.

• Journal of the Chungcheong Mathematical Society
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• v.26 no.2
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• pp.343-349
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• 2013

The optimal portfolio selection problem under inflation risk is considered in this paper. There are three assets the economic agent can invest, which are a risk free bond, an index bond and a risky asset. By applying the martingale method, the optimal consumption rate and the optimal portfolios for each asset are obtained explicitly.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.16 no.2
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• pp.107-124
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• 2012

In this paper we conduct comparative statics for optimal consumption and portfolio selection of an agent who has a utility function of Epstein and Zin type. We derive the Slutsky equations and decompose the total effects of changes into the substitution effects and the income effects. We identify the role of the elasticity of intertemporal substitution and the coefficient of relative risk aversion.