Journal article 398 views
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Zhuo Jin,
Kob Liu,
Hailiang Yang
European Journal of Operational Research, Volume: 280, Issue: 3, Pages: 1130 - 1143
Swansea University Author: Kob Liu
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DOI (Published version): 10.1016/j.ejor.2019.07.066
Abstract
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
| Published in: | European Journal of Operational Research |
|---|---|
| ISSN: | 0377-2217 |
| Published: |
Elsevier BV
2020
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa62807 |
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| College: |
Faculty of Science and Engineering |
|---|---|
| Issue: |
3 |
| Start Page: |
1130 |
| End Page: |
1143 |