학술저널
PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 29, No. 2
-
2016.05329 - 336 (8 pages)
- 2
The optimal portfolio choice problem with a stochastic income is considered in continuous-time framework. We provide a novel approach to treat the stochastic income when the market is complete. The developed method is useful to obtain closed-form solutions of the problems under borrowing constraints.
1. Introduction
2. Environment
3. New approach
4. Borrowing constraint
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