Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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OPTIMAL PORTFOLIO WITH A WAGE INCREASE

  • Lee, Ho-Seok (FX & Derivatives Trading Div. Korea Exchange Bank)
  • Received : 2013.04.23
  • Accepted : 2013.07.08
  • Published : 2013.08.15
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Abstract

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.

Keywords

References

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