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math.OC2011
On Investment-Consumption with Regime-Switching
Traian A. Pirvu, Huayue Zhang
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change…
math.OC2011★ 1 cited
Utility Indifference Pricing: A Time Consistent Approach
Traian A Pirvu, Huayue Zhang
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) ty…