A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS
Year of publication: |
2014
|
---|---|
Authors: | LIU, R. H. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 04, p. 1450027-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Optimal investment and consumption | regime-switching model | Markov chain | stochastic control | Hamilton–Jacobi–Bellman (HJB) equation |
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