A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS

DOI10.1142/S0219024914500277zbMath1305.91223OpenAlexW2060499529MaRDI QIDQ2874733

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Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500277

zbMATH Keywords

stochastic controlMarkov chainregime-switching modeloptimal investment and consumptionHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Optimal investment in multidimensional Markov-modulated affine models

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