지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
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.
목차
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참고문헌 (13)
참고문헌 신청
J. C. Cox / 1989 / Optimal Consumption and Portfolio Polices When Asset Prices Follow a Diffussion Process / J. Econ. Theory 49:33~83
J. Detemple / 2003 / Dynamic Equilibrium with Liquidity Constraints / Rev. Finan. Stud 16:597~629
D. Duffie / 1997 / Hedging in Incomplet Market with HARA Utility / J. Econ. Dynm. Control 21:753~782
P. H. Dybvig / 2010 / Lifetime consumption and investment: Retirement and constrained borrowing / J. Econ. Theory 145:885~907
E. Farhi / 2007 / Saving and investing for early retirement: A theo-retical analysis / J. Finan. Econ 83:87~121
J. Detemple / 2003 / Dynamic Equilibrium with Liquidity Constraints / Rev. Finan. Stud 16:597~629
D. Duffie / 1997 / Hedging in Incomplet Market with HARA Utility / J. Econ. Dynm. Control 21:753~782
P. H. Dybvig / 2010 / Lifetime consumption and investment: Retirement and constrained borrowing / J. Econ. Theory 145:885~907
E. Farhi / 2007 / Saving and investing for early retirement: A theo-retical analysis / J. Finan. Econ 83:87~121
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