On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment (Q3162573)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment |
scientific article |
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On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment (English)
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20 October 2010
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random endowment
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optimal utility
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incomplete market
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CRRA utility
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dynamic programming
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HJB equation
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