Optimal investment and consumption when regime transitions cause price shocks
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DOI: 10.1016/j.insmatheco.2012.07.011
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References listed on IDEAS
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Cited by:
- Chotipong Charoensom & Thaisiri Watewai, 2022. "Optimal Liquidity Control and Systemic Risk in an Interbank Network with Liquidity Shocks and Regime-dependent Interconnectedness," PIER Discussion Papers 175, Puey Ungphakorn Institute for Economic Research.
- Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
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More about this item
Keywords
Event risk; Regime switching; Defaultable bonds; Jump processes; Optimal investment and consumption; Stochastic control;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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