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...

Descripción completa

Detalles Bibliográficos
Autores Principales: "López, Oscar, Serrano, Rafael"
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Taylor and Francis Inc. 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23338
https://doi.org/10.1080/15326349.2014.999286