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)

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