Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market
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 definiti...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2016-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2016/9606497 |