1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PM2013
Investment and Consumption with Regime-Switching Discount Rates
Traian Pirvu, Huayue Zhang
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rat…
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…