Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Controlled Markov processes and viscosity solutions
- Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
- Fitting combinations of exponentials to probability distributions
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Portfolio selection in a two-regime world
- Portfolio Selection with Transaction Costs
Cited in
(21)- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
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- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Sequential \delta-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
- scientific article; zbMATH DE number 7295583 (Why is no real title available?)
- Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Optimal dividends for regulated insurers with a nonlinear penalty
- Optimal asset allocation under search frictions and stochastic interest rate
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Dynamic trading with Markov liquidity switching
- Strategic trading with information acquisition and long-memory stochastic liquidity
- Randomization and the valuation of guaranteed minimum death benefits
- The role of health in consumption and portfolio decision-making: insights from state-dependent models
- Optimal harvesting under uncertain environment with clusters of catastrophes
- Optimal investment of defined contribution pension plan with environmental, social, and governance (ESG) factors in regime-switching jump diffusion models
- Investment-consumption optimization with transaction cost and learning about return predictability
- Dividend and capital injection control with liquidation under two-sided jump-diffusion models
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