학술논문
OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
이용수 4
- 영문명
- 발행기관
- 충청수학회
- 저자명
- Yong Hyun Shin
- 간행물 정보
- 『Journal of the Chungcheong Mathematical Society』Volume 26, No. 1, 85~90쪽, 전체 6쪽
- 주제분류
- 자연과학 > 자연과학일반
- 파일형태
- 발행일자
- 2013.02.28
4,000원
구매일시로부터 72시간 이내에 다운로드 가능합니다.
이 학술논문 정보는 (주)교보문고와 각 발행기관 사이에 저작물 이용 계약이 체결된 것으로, 교보문고를 통해 제공되고 있습니다.
국문 초록
영문 초록
We use the dynamic programming method to investi- gate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with con- stant absolute risk aversion (CARA) utility.
목차
1. Introduction
2. The ¯nancial market
3. The optimization problem
키워드
해당간행물 수록 논문
- HILBERT 3-CLASS FIELD TOWERS OF IMAGINARY CUBIC FUNCTION FIELDS
- ON PUTINAR S MATRICIAL MODEL OPERATOR OF RANK 2
- A CHANGE OF SCALE FORMULA FOR GENERALIZED WIENER INTEGRALS II
- FIXED POINT AND PERIODIC POINT THEOREMS ON METRIC SPACES
- TRANSITIVE SETS WITH C1-STABLY LIMIT SHADOWING
- ON LINEAR BCI-ALGEBRAS
- GALOIS ACTIONS OF A CLASS INVARIANT OVER QUADRATIC NUMBER FIELDS WITH DISCRIMINANT D =64 (mod 72)
- MINIMAL QUASI-F COVERS OF ÀX
- ON SOME NONLINEAR INTEGRAL INEQUALITIES ON TIME SCALES
- CATEGORY OF MAPS AND GOTTLIEB SETS FOR MAPS, AND THEIR DUALS
- SOME APPLICATIONS OF MATHEMATICAL RESISTANCE
- CONVERGENCE RATE IN STRONG LAW FOR ARRAYS OF ROWWISE AANA RANDOM VARIABLES
- FUZZY INTUITIONISTIC ALMOST (r; s)-CONTINUOUS MAPPINGS
- TOPOLOGY FIELDS, TOPOLOGICAL FLOWS AND TOPOLOGICAL ORGANISMS
- SEQUENTIAL ESTIMATION OF THE MEAN VECTOR WITH BETA-PROTECTION IN THE MULTIVARIATE DISTRIBUTION
- ON SUBTRACTIVE EXTENSION OF SUBSEMIMODULES OF SEMIMODULES
- A NOTE ON EULERIAN POLYNOMIALS OF HIGHER ORDER
- BIPOLAR-VALUED FUZZY IDEAL EXTENSIONS OF BCK-ALGEBRAS
- OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY
- A SOLUTION OF EINSTEIN S FIELD EQUATIONS FOR THE THIRD CLASS IN X4
- CERTAIN RESULTS ON THE q-GENOCCHI NUMBERS AND POLYNOMIALS
- LOGARITHMIC COMPOSITION INEQUALITY IN BESOV SPACES
- BIPRODUCT BIALGEBRAS WITH A PROJECTION ONTO A HOPF ALGEBRA
- DETERMINATION OF MINIMUM LENGTH OF SOME LINEAR CODES
- STABILITY PROPERTIES IN NONLINEAR DISCRETE VOLTERRA EQUATIONS WITH UNBOUNDED DELAY
참고문헌
교보eBook 첫 방문을 환영 합니다!
신규가입 혜택 지급이 완료 되었습니다.
바로 사용 가능한 교보e캐시 1,000원 (유효기간 7일)
지금 바로 교보eBook의 다양한 콘텐츠를 이용해 보세요!