Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324): Difference between revisions
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Revision as of 01:10, 20 March 2024
scientific article; zbMATH DE number 6448696
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models |
scientific article; zbMATH DE number 6448696 |
Statements
Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (English)
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22 June 2015
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jump-telegraph model
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Markov-modulated
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martingale method
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optimal investment-consumption
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pure jump model
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regime switching
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utility maximization
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