AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH LABOR INCOME AND REGIME SWITCHING

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Published: May 15, 2014
DOI: https://doi.org/10.14403/jcms.2014.27.2.219
Keywords:
regime-switching, labor income, CARA utility, portfolio selection
Mathematics Subject Classification (2020):
Primary 91G10

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

Abstract





I use the dynamic programming approach to study the optimal consumption and investment problem with regimeswitching 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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Article Details

Issue
Vol. 27 No. 2 (2014)
Section
Articles