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