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 expressio...

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Autores:
Tipo de recurso:
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
Rights
License
Abierto (Texto Completo)
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oai_identifier_str oai:repository.urosario.edu.co:10336/23338
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 051eab7f-7e2b-4d50-b548-e1a1828900b8-1800853686002020-05-26T00:01:15Z2020-05-26T00:01:15Z2015We 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.application/pdfhttps://doi.org/10.1080/15326349.2014.9992861532634915324214https://repository.urosario.edu.co/handle/10336/23338engTaylor and Francis Inc.291No. 2261Stochastic ModelsVol. 31Stochastic Models, ISSN:15326349, 15324214, Vol.31, No.2 (2015); pp. 261-291https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929156576&doi=10.1080%2f15326349.2014.999286&partnerID=40&md5=f75afde8555eb1a64aee0ca6e92a52a4Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCalculationsStochastic systemsTelegraphMarkov-modulatedMartingale methodOptimal investment consumptionRegime switchingUtility maximizationsMarkov processesJump-telegraph modelMarkov-modulatedMartingale methodOptimal investment-consumptionPure jump modelRegime switchingUtility maximizationMartingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump modelsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501López, OscarSerrano Perdomo, Rafael Antonio10336/23338oai:repository.urosario.edu.co:10336/233382022-05-02 07:37:20.931124https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
title Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
spellingShingle Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
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
title_short Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
title_full Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
title_fullStr Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
title_full_unstemmed Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
title_sort Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
dc.subject.keyword.spa.fl_str_mv 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
topic 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
description 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.
publishDate 2015
dc.date.created.spa.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:15Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:15Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1080/15326349.2014.999286
dc.identifier.issn.none.fl_str_mv 15326349
15324214
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23338
url https://doi.org/10.1080/15326349.2014.999286
https://repository.urosario.edu.co/handle/10336/23338
identifier_str_mv 15326349
15324214
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 291
dc.relation.citationIssue.none.fl_str_mv No. 2
dc.relation.citationStartPage.none.fl_str_mv 261
dc.relation.citationTitle.none.fl_str_mv Stochastic Models
dc.relation.citationVolume.none.fl_str_mv Vol. 31
dc.relation.ispartof.spa.fl_str_mv Stochastic Models, ISSN:15326349, 15324214, Vol.31, No.2 (2015); pp. 261-291
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929156576&doi=10.1080%2f15326349.2014.999286&partnerID=40&md5=f75afde8555eb1a64aee0ca6e92a52a4
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Taylor and Francis Inc.
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1814167658877157376

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