EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
From MaRDI portal
Publication:3393971
Recommendations
- Explicit solutions of optimal consumption, investment and insurance problems with regime switching
- A finite-horizon optimal investment and consumption problem using regime-switching models
- Optimal investment and consumption with proportional transaction costs in regime-switching model
- Investment/consumption problem in illiquid markets with regime-switching
- Optimal consumption/investment and life insurance with regime-switching financial market parameters
Cites work
- scientific article; zbMATH DE number 4010171 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An explicit solution to an optimal stopping problem with regime switching
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Does risk aversion or attraction depend on income? An experiment
- Explicit solutions to European options in a regime-switching economy
- Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Irreversible investment with regime shifts
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Nearly-optimal asset allocation in hybrid stock investment models.
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal selling rules in a regime switching model
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Option Pricing With Markov-Modulated Dynamics
- Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
- Subjective expected utility theory with state-dependent preferences
Cited in
(69)- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching
- A finite-horizon optimal investment and consumption problem using regime-switching models
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Optimal bitcoin trading with inverse futures
- Duality in optimal consumption-investment problems with alternative data
- A stochastic flows approach for asset allocation with hidden economic environment
- Portfolio selection with regime-switching and state-dependent preferences
- Worst-case portfolio optimization in a market with bubbles
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Dynamic portfolio optimization with a defaultable security and regime-switching
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
- Optimal consumption/investment and life insurance with regime-switching financial market parameters
- Risk seeking, nonconvex remuneration and regime switching
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-consumption strategy in a discrete-time model with regime switching
- Stochastic impulse control with regime-switching dynamics
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Optimal R\&D investment problem with regime-switching
- Leverage management in a bull-bear switching market
- Time-inconsistent optimal control problems with regime-switching
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Explicit solutions of optimal consumption, investment and insurance problems with regime switching
- Investment-consumption with regime-switching discount rates
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- Dynamic credit investment in partially observed markets
- Utility indifference valuation of corporate bond with rating migration risk
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Pairs trading under drift uncertainty and risk penalization
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal consumption and portfolio under inflation and Markovian switching
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Possibilistic individual multi-period consumption-investment models
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal life insurance and annuity demand with jump diffusion and regime switching
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Optimal convergence trading with unobservable pricing errors
- Optimal financing and dividend strategies with time inconsistency in a regime switching economy
- An HMM approach for optimal investment of an insurer
- Optimal investment in multidimensional Markov-modulated affine models
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- HARA utility maximization in a Markov-switching bond-stock market
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
- Optimal portfolios with regime switching and value-at-risk constraint
- Dividend optimization for regime-switching general diffusions
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Explicit formula for the optimal government debt ceiling
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Mean-variance portfolio selection with regime switching under shorting prohibition
- A martingale approach for asset allocation with derivative security and hidden economic risk
- Pandemic portfolio choice
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
- Continuous-time mean-variance asset-liability management with hidden Markovian regime switching
This page was built for publication: EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3393971)
