1 citations · 1 across the 4 of their papers we have counts for
4 papers
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…
A Multi Period Equilibrium Pricing Model
Traian A. Pirvu, Huayue Zhang
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded…
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…
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…