Optimal consumption and portfolio under inflation and Markovian switching

被引：32
|
作者：
Fei, Weiyin [1 ]
机构：
[1] Anhui Polytech Univ, Sch Math & Phys, Wuhu 241000, Anhui, Peoples R China
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2013年 / 85卷 / 02期
基金：
安徽省自然科学基金; 中国国家自然科学基金;
关键词：
financial market with Markovian switching; generalized Ito formula; optimal consumption and portfolio; HJB equations; inflation; 60H10; 91B28; 93E20; EXPLICIT SOLUTION; INVESTMENT; OPTIMIZATION; SELECTION; UTILITY; CHOICE; MARKET;
D O I：
10.1080/17442508.2011.651217
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, a financial market with Markovian switching and inflation is described, and the problem of maximizing expected utility of consumption discounted by inflation is given. Then, by a generalized Ito formula for Markov-modulated processes, the verification theorems of optimal policies are derived. Finally, the optimal consumption and portfolio policies for the constant relative risk aversion utility are given explicitly, and an economic analysis is made by numerical examples.
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页码：272 / 285
页数：14
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