Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH

  • Lim, Byung Hwa (Department of Economics and Finance The University of Suwon)
  • Received : 2016.01.12
  • Accepted : 2016.05.09
  • Published : 2016.05.15
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Abstract

The optimal portfolio choice problem with a stochastic income is considered in continuous-time framework. We provide a novel approach to treat the stochastic income when the market is complete. The developed method is useful to obtain closed-form solutions of the problems under borrowing constraints.

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References

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