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PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH
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 Title & Authors
PORTFOLIO SELECTION WITH INCOME RISK: A NEW APPROACH
Lim, Byung Hwa;
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 Abstract
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.
 Keywords
portfolio selection;stochastic income;borrowing constraints;CRRA utility;
 Language
English
 Cited by
 References
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