Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Zhuo Jin, Guo Liu, Hailiang Yang
| Year of publication: |
2020
|
|---|---|
| Authors: | Jin, Zhuo ; Liu, Guo ; Yang, Hailiang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 3 (1.2.), p. 1130-1143
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| Subject: | Lifetime uncertainty | Liquidity risk | Markov chain approximation method | Regime-switching | Stochastic control | Markov-Kette | Markov chain | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.07.066 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012132524