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Investment/consumption problem in illiquid markets with regimes switching
Optimal consumption liquidity effects regime-switching models viscosity solutions integro-differential system
2011/10/9
Abstract: We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a...
An optimal life insurance policy in the investment-consumption problem in an incomplete market
life insurance policy the investment-consumption problem incomplete market
2010/12/13
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of ear...