Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY

  • Received : 2012.09.06
  • Accepted : 2012.11.09
  • Published : 2013.02.15
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Abstract

We use the dynamic programming method to investigate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility.

Keywords

References

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Cited by

  1. 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