Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES

  • Published : 2012.05.15
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Abstract

I study an optimal consumption and portfolio selection problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I obtain optimal solutions in closed-form.

Keywords

References

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Cited by

  1. OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY vol.26, pp.1, 2013, https://doi.org/10.14403/jcms.2013.26.1.085
  2. AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH LABOR INCOME AND REGIME SWITCHING vol.27, pp.2, 2014, https://doi.org/10.14403/jcms.2014.27.2.219