Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

DOI10.1016/j.ejor.2019.07.066zbMath1431.91361OpenAlexW2964542030MaRDI QIDQ2327645

Hailiang Yang, Guo Liu, Zhuo Jin

Publication date: 15 October 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.07.066

zbMATH Keywords

stochastic controlregime-switchingliquidity risklifetime uncertaintyMarkov chain approximation method

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Controlled Markov processes and viscosity solutions
• Portfolio selection in a two-regime world
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Fitting combinations of exponentials to probability distributions
• Portfolio Selection with Transaction Costs
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

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