학술저널
OPTIMAL PORTFOLIO WITH A WAGE INCREASE
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 26, No. 3
-
2013.08571 - 576 (6 pages)
- 2
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.
1. Introduction
2. The model
3. Determination of value functions
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