Optimal consumption and portfolio under inflation and Markovian switching

DOI10.1080/17442508.2011.651217zbMath1285.91117OpenAlexW1965115663MaRDI QIDQ5411905

Weiyin Fei

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.651217

zbMATH Keywords

inflationHJB equationsoptimal consumption and portfoliofinancial market with Markovian switchinggeneralized Itō formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (6)

Agent's optimal compensation under inflation risk by using dynamic contract model ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ A probabilistic approach to the stochastic fluid cash management balance problem ⋮ Optimal consumption, leisure and job choice under inflationary environment ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS

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