학술저널
AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH LABOR INCOME AND REGIME SWITCHING
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 27, No. 2
-
2014.05219 - 225 (7 pages)
- 2
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.
1. Introduction
2. The ¯nancial market
3. The optimization problem
(0)
(0)