학술저널
OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 26, No. 1
-
2013.0285 - 90 (6 pages)
- 4
We use the dynamic programming method to investi- gate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with con- stant absolute risk aversion (CARA) utility.
1. Introduction
2. The ¯nancial market
3. The optimization problem
(0)
(0)