An optimal investment and consumption model with stochastic returns

DOI10.1002/asmb.720zbMath1224.91144OpenAlexW4230572470MaRDI QIDQ3077453

Yanqing Yi, Xikui Wang

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.720

zbMATH Keywords

Bayesian methodMarkov decision processoptimal investmentstochastic returns

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Related Items (3)

One-armed bandit process with a covariate ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Optimal investment and consumption with stochastic dividends

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Bayesian forecasting and dynamic models.
• Recursive multiple-priors.
• Adaptive Markov control processes
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Optimal investment-consumption strategy in a discrete-time model with regime switching
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Asset Allocation with Regime-Switching: Discrete-Time Case
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Prediction and Decision Problems in Regression Models from the Bayesian Point of View
• Risk Aversion in the Small and in the Large

This page was built for publication: An optimal investment and consumption model with stochastic returns