학술저널
PORTFOLIO SELECTION WITH REGIME-SWITCHING:
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 25, No. 2
-
2012.05277 - 281 (5 pages)
- 4
I study an optimal consumption and portfolio selec-tion problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I ob-tain optimal solutions in closed-form.
1. Introduction
2. The ¯nancial market
3. The optimization problem
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