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EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
16 references·12 citing·40 second hop
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(1989)Why Does Stock Market Volatil…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Expected stock returns and volatility (1987)Expected stock returns and vo…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (2019)Mean-Variance Portfolio Selec…The multistage one-shot decision making:theory and its application (2015)The multistage one-shot decis…Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015)Investor sentiment and its no…Optimal investment and risk control policies for an insurer: Expected utility maximization (2014)Optimal investment and risk c…Investment/Consumption Problem in Illiquid Markets with Regime-Switching (2014)Investment/Consumption Proble…A class of non-zero-sum stochastic differential investment and reinsurance games (2014)A class of non-zero-sum stoch…Optimal Production Management When Demand Depends on the Business Cycle (2013)Optimal Production Management…DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (2012)DYNAMIC PORTFOLIO OPTIMIZATIO…Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence (2012)Asymmetric effects of investo…HARA frontiers of optimal portfolios in stochastic markets (2011)HARA frontiers of optimal por…Classical and singular stochastic control for the optimal dividend policy when there is regime switching (2011)Classical and singular stocha…Optimal portfolios with regime switching and value-at-risk constraint (2010)Optimal portfolios with regim…Efficient Analytic Approximation of American Option Values (1987)Option pricing and Esscher transform under regime switching (2005)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Aspects of the Theory of Risk-Bearing. 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References

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  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
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  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
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  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 2005Irreversible investment with regime shifts176 cited
  • 2004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain175 cited

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2001
An explicit solution to an optimal stopping problem with regime switching
173 cited

Cited by

  • 2014A class of non-zero-sum stochastic differential investment and reinsurance games156 cited
  • 2015Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model140 cited
  • 2012Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence107 cited
  • 2012DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING79 cited
  • 2010Optimal portfolios with regime switching and value-at-risk constraint66 cited
  • 2014Optimal investment and risk control policies for an insurer: Expected utility maximization65 cited
  • 2011Classical and singular stochastic control for the optimal dividend policy when there is regime switching58 cited
  • 2014Investment/Consumption Problem in Illiquid Markets with Regime-Switching34 cited
  • 2019Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions32 cited
  • 2011HARA frontiers of optimal portfolios in stochastic markets32 cited
  • 2013Optimal Production Management When Demand Depends on the Business Cycle26 cited
  • 2015The multistage one-shot decision making:theory and its application0 cited