PORTFOLIO SELECTION WITH REGIME-SWITCHING: DYNAMIC PROGRAMMING APPROACHES

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Published: May 15, 2012
DOI: https://doi.org/10.14403/jcms.2012.25.2.277
Keywords:
Regime-switching, CRRA 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 study an optimal consumption and portfolio selection problem with regime-switching using a dynamic programming method. With constant relative risk aversion (CRRA) utility I obtain optimal solutions in closed-form.





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Article Details

Issue
Vol. 25 No. 2 (2012)
Section
Articles