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Stochastic Models Volume 31, 2015 - Issue 2
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Original Articles

Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models

Oscar LópezDepartment of Economics, Universidad del Rosario Calle 12C No. 4-69 Bogotá, Colombia
&
Rafael SerranoDepartment of Economics, Universidad del Rosario Calle 12C No. 4-69 Bogotá, ColombiaCorrespondence[email protected]
Pages 261-291 | Received 01 Jun 2014, Accepted 01 Dec 2014, Published online: 05 May 2015

Citations (3)

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Caibin Zhang & Zhibin Liang. (2023) Constrained mean-variance portfolio optimization for jump-diffusion process under partial information. Stochastic Models 39:4, pages 741-771.
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Articles from other publishers (2)

Oscar López, Gerardo Oleaga & Alejandra Sánchez. (2021) Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. Applied Mathematics and Computation 395, pages 125854.
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Carlos Heitor Campani, René Garcia & Marcelo Lewin. (2021) Optimal portfolio strategies in the presence of regimes in asset returns. Journal of Banking & Finance 123, pages 106030.
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