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

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Cited by:

  1. Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
  2. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
  3. Abel Cadenillas & Ricardo Huamán-Aguilar, 2016. "Explicit formula for the optimal government debt ceiling," Annals of Operations Research, Springer, vol. 247(2), pages 415-449, December.
  4. C. Ye & R. H. Liu & D. Ren, 2018. "Optimal Asset Allocation With Stochastic Interest Rates In Regime-Switching Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  5. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  6. Benjamín Vallejo Jiménez & Francisco Venegas Martínez, 2017. "Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with," Economics Bulletin, AccessEcon, vol. 37(1), pages 314-326.
  7. Hu, Fengxia & Wang, Rongming, 2017. "Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint," Applied Mathematics and Computation, Elsevier, vol. 313(C), pages 103-118.
  8. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.
  9. Sühan Altay & Katia Colaneri & Zehra Eksi, 2021. "Optimal convergence trading with unobservable pricing errors," Annals of Operations Research, Springer, vol. 299(1), pages 133-161, April.
  10. Traian A. Pirvu & Huayue Zhang, 2011. "On Investment-Consumption with Regime-Switching," Papers 1107.1895, arXiv.org.
  11. Reza Keykhaei, 2020. "Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean–variance formulation," Operational Research, Springer, vol. 20(3), pages 1231-1254, September.
  12. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2022. "An anticipative Markov modulated market," DES - Working Papers. Statistics and Econometrics. WS 34083, Universidad Carlos III de Madrid. Departamento de Estadística.
  13. Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
  14. Yehong Yang & Guohua Cao, 2019. "Optimal Financing and Dividend Strategies with Time Inconsistency in a Regime Switching Economy," Complexity, Hindawi, vol. 2019, pages 1-11, April.
  15. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  16. 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.
  17. Sühan Altay & Katia Colaneri & Zehra Eksi, 2018. "Pairs Trading Under Drift Uncertainty And Risk Penalization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-24, November.
  18. Florian Gutekunst & Martin Herdegen & David Hobson, 2025. "Optimal Investment and Consumption in a Stochastic Factor Model," Papers 2509.09452, arXiv.org.
  19. Jianmin Shi, 2020. "Optimal control of multiple Markov switching stochastic system with application to portfolio decision," Papers 2010.16102, arXiv.org.
  20. Christoph Belak & Sören Christensen & Olaf Menkens, 2016. "Worst-Case Portfolio Optimization In A Market With Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-36, March.
  21. 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.
  22. Zou, Bin & Cadenillas, Abel, 2014. "Explicit solutions of optimal consumption, investment and insurance problems with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 159-167.
  23. Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Financial Science Trends and Perspectives: A Review Article," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
  24. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
  25. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
  26. Traian Pirvu & Huayue Zhang, 2013. "Investment and Consumption with Regime-Switching Discount Rates," Papers 1303.1248, arXiv.org.
  27. Jun Deng & Huifeng Pan & Shuyu Zhang & Bin Zou, 2021. "Optimal Bitcoin trading with inverse futures," Annals of Operations Research, Springer, vol. 304(1), pages 139-163, September.
  28. Pirvu, Traian A. & Zhang, Huayue, 2014. "Investment–consumption with regime-switching discount rates," Mathematical Social Sciences, Elsevier, vol. 71(C), pages 142-150.
  29. Korn, Ralf & Melnyk, Yaroslav & Seifried, Frank Thomas, 2017. "Stochastic impulse control with regime-switching dynamics," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1024-1042.
  30. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2015. "Portfolio Optimization In Affine Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-46.
  31. Victor Gonzalo & Markus Wahl & Rudi Zagst, 2025. "Dynamic Portfolio Optimization Using Information from a Crisis Indicator," Mathematics, MDPI, vol. 13(16), pages 1-36, August.
  32. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
  33. 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.
  34. Abel Cadenillas & Peter Lakner & Michael Pinedo, 2013. "Optimal Production Management When Demand Depends on the Business Cycle," Operations Research, INFORMS, vol. 61(4), pages 1046-1062, August.
  35. Alessandra Cretarola & Benedetta Salterini, 2023. "Indifference pricing of pure endowments in a regime-switching market model," Papers 2301.13575, arXiv.org, revised Jul 2025.
  36. Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
  37. Zou, Bin & Cadenillas, Abel, 2014. "Optimal investment and risk control policies for an insurer: Expected utility maximization," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 57-67.
  38. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
  39. 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.
  40. Zhang, Miao & Chen, Ping & Yao, Haixiang, 2017. "Mean-variance portfolio selection with only risky assets under regime switching," Economic Modelling, Elsevier, vol. 62(C), pages 35-42.
  41. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients," Papers 2211.05291, arXiv.org.
  42. 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.
  43. Suhan Altay & Katia Colaneri & Zehra Eksi, 2019. "Optimal Convergence Trading with Unobservable Pricing Errors," Papers 1910.01438, arXiv.org, revised Oct 2019.
  44. 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.
  45. Jianmin Shi, 2023. "Dynamic asset allocation with multiple regime‐switching markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1741-1755, April.
  46. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
  47. Shao, Jinghai & Wang, Lingdi & Wu, Qiong, 2023. "Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 1-23.
  48. Bin Zou & Abel Cadenillas, 2017. "Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model," Risks, MDPI, vol. 5(1), pages 1-22, January.
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