OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH REGIME-SWITCHING AND CARA UTILITY

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Published: Feb 15, 2013
DOI: https://doi.org/10.14403/jcms.2013.26.1.85
Keywords:
regime-switching, CARA utility, portfolio optimization
Mathematics Subject Classification (2020):
Primary 91G10

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Yong Hyun Shin
Department of Mathematics, Sookmyung Women's University

Abstract





We use the dynamic programming method to investigate the optimal consumption and investment problem with regimeswitching. We derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility.





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Article Details

Issue
Vol. 26 No. 1 (2013)
Section
Articles