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Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models

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dc.creatorLópez, Oscarspa
dc.creatorSerrano Perdomo, Rafael Antonio
dc.date.accessioned2020-05-26T00:01:15Z
dc.date.available2020-05-26T00:01:15Z
dc.date.created2015spa
dc.description.abstractWe study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form expressions for the optimal value function for agents with logarithmic and fractional power (CRRA) utility in the case of two-state Markov chains. The main tools are convex duality techniques, stochastic calculus for pure-jump processes, and explicit formulae for the moments of telegraph processes with Markov-modulated random jumps. Copyright © Taylor and Francis Group, LLC.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1080/15326349.2014.999286
dc.identifier.issn15326349
dc.identifier.issn15324214
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/23338
dc.language.isoengspa
dc.publisherTaylor and Francis Inc.spa
dc.relation.citationEndPage291
dc.relation.citationIssueNo. 2
dc.relation.citationStartPage261
dc.relation.citationTitleStochastic Models
dc.relation.citationVolumeVol. 31
dc.relation.ispartofStochastic Models, ISSN:15326349, 15324214, Vol.31, No.2 (2015); pp. 261-291spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84929156576&doi=10.1080%2f15326349.2014.999286&partnerID=40&md5=f75afde8555eb1a64aee0ca6e92a52a4spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCalculationsspa
dc.subject.keywordStochastic systemsspa
dc.subject.keywordTelegraphspa
dc.subject.keywordMarkov-modulatedspa
dc.subject.keywordMartingale methodspa
dc.subject.keywordOptimal investment consumptionspa
dc.subject.keywordRegime switchingspa
dc.subject.keywordUtility maximizationsspa
dc.subject.keywordMarkov processesspa
dc.subject.keywordJump-telegraph modelspa
dc.subject.keywordMarkov-modulatedspa
dc.subject.keywordMartingale methodspa
dc.subject.keywordOptimal investment-consumptionspa
dc.subject.keywordPure jump modelspa
dc.subject.keywordRegime switchingspa
dc.subject.keywordUtility maximizationspa
dc.titleMartingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump modelsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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