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

DOI10.3934/DCDSB.2007.8.315MaRDI QIDQ2467050zbMATH OpenOpenAlexFDO

Authors K. C. 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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• Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
• Optimal investment and consumption when regime transitions cause price shocks
• Optimal consumption and investment for a large investor: an intensity-based control framework
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• Investment-consumption with regime-switching discount rates
• Asset Allocation with Regime-Switching: Discrete-Time Case
• Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
• Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
• Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state
• Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
• Continuous-time mean-variance portfolio selection with liability and regime switching
• Optimal investment and risk control for an insurer in a jump-diffusion market with regime-switching

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