Investment-consumption with regime-switching discount rates
From MaRDI portal
Publication:459181
DOI10.1016/j.mathsocsci.2014.07.001zbMath1308.91146arXiv1303.1248OpenAlexW2192657731MaRDI QIDQ459181
Traian A. Pirvu, Hua-Yue Zhang
Publication date: 8 October 2014
Published in: Mathematical Social Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.1248
Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items
Optimal portfolio and consumption rule with a CIR model under HARA utility, Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions, Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach, Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment, Nonrecursive separation of risk and time preferences, A Stochastic production planning problem, Optimal investment-consumption strategy under inflation in a Markovian regime-switching market, On time-inconsistent stochastic control in continuous time, Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model, Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions, Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time, Portfolio selection with regime-switching and state-dependent preferences, Stochastic production planning with regime switching
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Non-constant discounting and differential games with random time horizon
- Option pricing and Esscher transform under regime switching
- Investment and consumption without commitment
- Optimal growth with decreasing marginal impatience
- Consumption and portfolio rules for time-inconsistent investors
- Increasing marginal impatience and intertemporal substitution
- The golden rule when preferences are time inconsistent
- Markov control processes with randomized discounted cost
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Golden Eggs and Hyperbolic Discounting
- Information and option pricings
- Time-Consistent Portfolio Management
- Heterogeneous discounting in economic problems
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
