Ítem
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Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Título de la revista
Autores
López, Oscar
Serrano Perdomo, Rafael Antonio
Fecha
2015
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Editor
Taylor and Francis Inc.
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Métricas alternativas
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Abstract
We 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.
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Keywords
Calculations , Stochastic systems , Telegraph , Markov-modulated , Martingale method , Optimal investment consumption , Regime switching , Utility maximizations , Markov processes , Jump-telegraph model , Markov-modulated , Martingale method , Optimal investment-consumption , Pure jump model , Regime switching , Utility maximization
