most citedOptimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients

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math.PR2022★ 1 cited

Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients

Ying Hu, Xiaomin Shi, Zuo Quan Xu

This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, sub…