Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models

"We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form exp...

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Detalles Bibliográficos
Autores Principales: "López, Oscar, Serrano, Rafael"
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Taylor and Francis Inc. 2015
Acceso en línea: