Optimal investment and consumption with proportional transaction costs in regime-switching model

DOI10.1007/s10957-013-0445-yzbMath1311.49105OpenAlexW2073173314MaRDI QIDQ481779

Ruihua Liu

Publication date: 15 December 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0445-y

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal investment and consumptioninfinite horizon planningMarkovian chain ratespower type utility function

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (5)

Investment and consumption in regime-switching models with proportional transaction costs and log utility ⋮ Certain properties related to well posedness of switching diffusions ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS

Cites Work

• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• Whether to sell or hold a stock
• Trend Following Trading under a Regime Switching Model
• User’s guide to viscosity solutions of second order partial differential equations
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Portfolio Selection with Transaction Costs

This page was built for publication: Optimal investment and consumption with proportional transaction costs in regime-switching model