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

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.

• Fecha de publicación: 2015
• Institución: Universidad del Rosario
• Repositorio: Repositorio EdocUR - U. Rosario
• Idioma: eng
• OAI Identifier: oai:repository.urosario.edu.co:10336/23338
• Acceso en línea: https://doi.org/10.1080/15326349.2014.999286; https://repository.urosario.edu.co/handle/10336/23338
• Palabra clave: 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
• License: Abierto (Texto Completo)