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Explicit Solutions Of Consumption-Investment Problems In Financial Markets With Regime Switching

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  • Luz Rocío Sotomayor
  • Abel Cadenillas
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2009.00366.x
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 19 (2009)
    Issue (Month): 2 ()
    Pages: 251-279

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    Handle: RePEc:bla:mathfi:v:19:y:2009:i:2:p:251-279

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    Cited by:
    1. Zeng, Yan & Wu, Huiling & Lai, Yongzeng, 2013. "Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon," Economic Modelling, Elsevier, vol. 33(C), pages 462-470.
    2. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.
    3. Bin Zou & Abel Cadenillas, 2014. "Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching," Papers 1402.3562, arXiv.org, revised Jun 2014.
    4. Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
    5. Paul Gassiat & Fausto Gozzi & Huy\^en Pham, 2011. "Investment/consumption problem in illiquid markets with regime-switching," Papers 1107.4210, arXiv.org, revised Apr 2012.
    6. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
    7. Bin Zou & Abel Cadenillas, 2014. "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers 1402.3560, arXiv.org, revised Mar 2014.
    8. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
    9. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2014. "Portfolio Optimization in Affine Models with Markov Switching," Papers 1403.5247, arXiv.org.

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