Resumen
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 expressions for the optimal value function for agents with logarithmic and fractional power (CRRA) utility in the case of two-state Markov chains. The main tools are convex duality techniques, stochastic calculus for pure-jump processes, and explicit formulae for the moments of telegraph processes with Markov-modulated random jumps.
| Idioma original | Inglés estadounidense |
|---|---|
| Páginas (desde-hasta) | 261-291 |
| Número de páginas | 31 |
| Publicación | Stochastic Models |
| Volumen | 31 |
| N.º | 2 |
| DOI | |
| Estado | Publicada - abr. 3 2015 |
Áreas temáticas de ASJC Scopus
- Estadística y probabilidad
- Modelización y simulación
- Matemáticas aplicadas
Huella
Profundice en los temas de investigación de 'Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models'. En conjunto forman una huella única.Citar esto
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