OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK

被引：11

作者：

Busch, Michael ^{[1
]}

Korn, Ralf ^{[1
]}

Seifried, Frank Thomas ^{[1
]}

机构：

[1] Univ Kaiserslautern, D-67653 Kaiserslautern, Germany

来源：

MATHEMATICAL FINANCE | 2013年 / 23卷 / 04期

关键词：

optimal consumption and investment; large investor; market manipulation; regime-shift model; PORTFOLIO OPTIMIZATION; OPTIONS;

D O I：

10.1111/j.1467-9965.2012.00528.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We introduce a new stochastic control framework where in addition to controlling the local coefficients of a jump-diffusion process, it is also possible to control the intensity of switching from one state of the environment to the other. Building upon this framework, we develop a large investor model for optimal consumption and investment that generalizes the regime-switching approach of Bauerle and Rieder (2004).

引用

页码：687 / 717

页数：31

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