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Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-07-27
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
This paper studies an investment-consumption problem under inflation.
The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain.
The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented.
The analytical expression of the optimal investment strategy is derived.
The existence, boundedness, and feasibility of the optimal consumption are proven.
Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.
American Psychological Association (APA)
Wu, Huiling. 2016. Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market. Discrete Dynamics in Nature and Society،Vol. 2016, no. 2016, pp.1-17.
https://search.emarefa.net/detail/BIM-1103639
Modern Language Association (MLA)
Wu, Huiling. Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market. Discrete Dynamics in Nature and Society No. 2016 (2016), pp.1-17.
https://search.emarefa.net/detail/BIM-1103639
American Medical Association (AMA)
Wu, Huiling. Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market. Discrete Dynamics in Nature and Society. 2016. Vol. 2016, no. 2016, pp.1-17.
https://search.emarefa.net/detail/BIM-1103639
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1103639