EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

By Luz R. Sotomayor, Abel Cadenillas. 2009

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dd063fb2bf5a4cec76c6abb65ea6093d499e0a1b

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In Economics and Econometrics

1. José E. Figueroa-López
2. Agostino Capponi
3. Matthew F. Dixon

In Finance

1. José E. Figueroa-López
2. Agostino Capponi
3. Matthew F. Dixon
4. C. Houdr'e

Citations in the corpus

• DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (2011, result): “Moreover, the optimal proportion of wealth invested in stocks is constant in every economic regime, and independent on time and current level of wealth, similarly to the findings in Sotomayor and Cadenillas (2009) and Bo et al. (2010), where infinite-time horizon problems are considered. We also fin”