Optimal consumption and portfolio under inflation and Markovian switching

Fei, Weiyin . International Journal of Stochastic Modelling and Applications 2013. 85 (2) :272-285

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Bibtex

@article{CIS-268508,
  Author = {Fei, Weiyin},
  Title = {Optimal consumption and portfolio under inflation and Markovian switching},
  Journal = {International Journal of Stochastic Modelling and Applications},
  Volume = {85},
  Number = {2},
  Year = {2013},
  Pages = {272--285},
  Keywords = {Sufficiency, Conditional test, log linear NHPP, power low NHPP, optimal portfolio, HJB equations, generalized Itô formula, financial market with Markovian switching}
}

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