충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제26권3호
  • /
  • Pages.571-576
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  • 2013
  • /
  • 1226-3524(pISSN)
  • /
  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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OPTIMAL PORTFOLIO WITH A WAGE INCREASE

  • Lee, Ho-Seok (FX & Derivatives Trading Div. Korea Exchange Bank)
  • 투고 : 2013.04.23
  • 심사 : 2013.07.08
  • 발행 : 2013.08.15
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초록

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.

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참고문헌

  1. H. J. Kushner, Stochastic Stability and Control, Academic Press, New York, 1967.
  2. H. K. Koo, Consumption and Portfolio Choice with Uninsurable Income Risk, PhD Dissertiation, 1992.
  3. J. Miao and N.Wang, Investment, Consumption and Hedging under Incomplete Markets, Preprint.
  4. R. C. Merton, Optimum Consumption and Portfolio Rules in a Continuous-Time Model, J. Econ. Theory 3 (1971), 373-413. https://doi.org/10.1016/0022-0531(71)90038-X