Optimal portfolio and consumption with habit formation in a jump diffusion market
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Publication:907435
DOI10.1016/j.amc.2013.07.063zbMath1329.91125OpenAlexW2000595995MaRDI QIDQ907435
Wenli Zhu, Xinfeng Ruan, Jiexiang Huang, Jin Hu
Publication date: 25 January 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.07.063
maximum principlestochastic controlequity premium puzzlehabit formationjump diffusions marketportfolio and consumption
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Related Items (4)
Errata corrige optimal portfolio and consumption with habit formation in a jump diffusion market ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
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