Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

2020 ◽  
Vol 280 (3) ◽  
pp. 1130-1143 ◽  
Author(s):  
Zhuo Jin ◽  
Guo Liu ◽  
Hailiang Yang
Keyword(s):  
Regime Switching ◽  
Liquidity Risk ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Optimal Consumption ◽  
Investment Strategies ◽  
Markov Regime Switching ◽  
Lifetime Uncertainty ◽  
Optimal Consumption And Investment

scholarly journals State-Dependent Utility

2009 ◽  
Vol 46 (1) ◽  
pp. 55-70 ◽  
Author(s):  
Jaime A. Londoño
Keyword(s):  
General Setting ◽  
Optimal Consumption ◽  
Investment Strategies ◽  
Economic Agents ◽  
State Dependent ◽  
Portfolio Problem ◽  
Functional Forms ◽  
Secondary Result ◽  
The One ◽  
Optimal Consumption And Investment

We propose a new approach to utilities in (state) complete markets that is consistent with state-dependent utilities. Full solutions of the optimal consumption and portfolio problem are obtained in a very general setting which includes several functional forms for utilities used in the current literature, and consider general restrictions on allowable wealths. As a secondary result, we obtain a suitable representation for straightforward numerical computations of the optimal consumption and investment strategies. In our model, utilities reflect the level of consumption satisfaction of flows of cash in future times as they are (uniquely) valued by the market when the economic agents are making their consumption and investment decisions. The theoretical framework used for the model is the one proposed in Londoño (2008). We develop the martingale methodology for the solution of the problem of optimal consumption and investment in this setting.

scholarly journals Option pricing under regime-switching jump–diffusion models

2014 ◽  
Vol 256 ◽  
pp. 152-167 ◽  
Author(s):  
Massimo Costabile ◽  
Arturo Leccadito ◽  
Ivar Massabó ◽  
Emilio Russo
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Diffusion Models
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