충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제27권2호
  • /
  • Pages.219-225
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  • 2014
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  • 1226-3524(pISSN)
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  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH LABOR INCOME AND REGIME SWITCHING

  • 투고 : 2014.01.10
  • 심사 : 2014.04.07
  • 발행 : 2014.05.15
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초록

I use the dynamic programming approach to study the optimal consumption and investment problem with regime-switching and constant labor income. I derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility and constant disutility.

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참고문헌

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