Optimal investment and consumption when regime transitions cause price shocks
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Publication:2447410
DOI10.1016/j.insmatheco.2012.07.011zbMath1285.91120OpenAlexW2075933972MaRDI QIDQ2447410
Thaisiri Watewai, Andrew E. B. Lim
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.011
stochastic controlregime switchingjump processesdefaultable bondsoptimal investment and consumptionevent risk
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Cites Work
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- Optimal portfolios with regime switching and value-at-risk constraint
- Point processes and queues. Martingale dynamics
- Post-'87 crash fears in the S\&P 500 futures option market
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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