Long term optimal investment with regime switching: inflation, information and short sales
نویسندگان
چکیده
منابع مشابه
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15 صفحه اولOn Investment-Consumption with Regime-Switching
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switches according to a finite state Markov chain. The change in the discount rate le...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2020
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-020-03692-8