Optimal portfolio of corporate investment and consumption problem under market closure: inflation case

MaRDI QIDQ474015zbMATH OpenFDO

Authors Zongyuan Huang, Detao Zhang

Publication date 24 November 2014

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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(3)

• A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION
• Long term optimal investment with regime switching: inflation, information and short sales
• Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion

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