Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models.
Zhuo JinGuo LiuHailiang YangPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- investment strategies
- financial markets
- futures market
- diffusion models
- stock market
- stock exchange
- markov chain
- stock price
- portfolio optimization
- portfolio selection
- information diffusion
- diffusion model
- decision making
- dynamic programming
- neural network
- robust optimization
- problems involving
- risk management
- decision support system
- text mining
- objective function