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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

Published in: European Journal of Operational Research
ISSN: 0377-2217
Published: Elsevier BV 2020
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URI: https://cronfa.swan.ac.uk/Record/cronfa62807
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first_indexed 2023-03-06T16:17:54Z
last_indexed 2023-03-17T04:23:07Z
id cronfa62807
recordtype SURis
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spelling 2023-03-16T11:57:51.7003078 v2 62807 2023-03-06 Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models f3a9b352db430540db04208ab15e0e40 Kob Liu Kob Liu true false 2023-03-06 SMA Journal Article European Journal of Operational Research 280 3 1130 1143 Elsevier BV 0377-2217 1 2 2020 2020-02-01 10.1016/j.ejor.2019.07.066 http://dx.doi.org/10.1016/j.ejor.2019.07.066 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2023-03-16T11:57:51.7003078 2023-03-06T16:10:00.2362986 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Zhuo Jin 1 Kob Liu 2 Hailiang Yang 3
title Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
spellingShingle Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Kob Liu
title_short Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
title_full Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
title_fullStr Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
title_full_unstemmed Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
title_sort Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
author_id_str_mv f3a9b352db430540db04208ab15e0e40
author_id_fullname_str_mv f3a9b352db430540db04208ab15e0e40_***_Kob Liu
author Kob Liu
author2 Zhuo Jin
Kob Liu
Hailiang Yang
format Journal article
container_title European Journal of Operational Research
container_volume 280
container_issue 3
container_start_page 1130
publishDate 2020
institution Swansea University
issn 0377-2217
doi_str_mv 10.1016/j.ejor.2019.07.066
publisher Elsevier BV
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url http://dx.doi.org/10.1016/j.ejor.2019.07.066
document_store_str 0
active_str 0
published_date 2020-02-01T04:23:11Z
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score 11.017731

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