EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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Publication:3393971
DOI10.1111/J.1467-9965.2009.00366.XzbMATH Open1168.91400OpenAlexW2014282155MaRDI QIDQ3393971FDOQ3393971
Authors: Luz R. Sotomayor, Abel Cadenillas 
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00366.x
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Cited In (69)
- 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
- Optimal bitcoin trading with inverse futures
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- Optimal consumption/investment and life insurance with regime-switching financial market parameters
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- Optimal investment-consumption strategy in a discrete-time model with regime switching
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
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- Portfolio optimization for a large investor controlling market sentiment under partial information
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- Duality in optimal consumption-investment problems with alternative data
- Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
- Optimal R\&D investment problem with regime-switching
- Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Optimal life insurance and annuity demand with jump diffusion and regime switching
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- A martingale approach for asset allocation with derivative security and hidden economic risk
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