Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models (Q2327645)
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scientific article; zbMATH DE number 7117632
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| English | Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models |
scientific article; zbMATH DE number 7117632 |
Statements
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models (English)
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15 October 2019
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stochastic control
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liquidity risk
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lifetime uncertainty
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regime-switching
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Markov chain approximation method
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0.7916237115859985
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0.784236490726471
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0.776974081993103
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0.7669914960861206
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0.7651904225349426
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