A finite-horizon optimal investment and consumption problem using regime-switching models
R. H. Liu
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Rui Hua |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 4, p. 1-18
|
| Subject: | Optimal investment and consumption | regime-switching model | Markov chain | stochastic control | Hamilton-Jacobi-Bellman (HJB) equation | Markov-Kette | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391500