Optimal investment-consumption strategy in a discrete-time model with regime switching

DOI10.3934/DCDSB.2007.8.315zbMath1151.91491OpenAlexW180827956MaRDI QIDQ2467050

Ka Chun Cheung, Hailiang Yang

Publication date: 18 January 2008

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2007.8.315

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (11)

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ Possibilistic individual multi-period consumption-investment models ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Multiperiod Telser's safety-first portfolio selection with regime switching ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Continuous-time mean-variance portfolio selection with liability and regime switching ⋮ Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint ⋮ Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state ⋮ An optimal investment and consumption model with stochastic returns ⋮ Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty

This page was built for publication: Optimal investment-consumption strategy in a discrete-time model with regime switching