Investment/Consumption Problem in Illiquid Markets with Regime-Switching
Work
Year: 2014
Type: article
Abstract: We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox proce... more
Authors Paul Gassiat, Fausto Gozzi, H. Pham
Institutions Laboratoire de Probabilités et Modèles Aléatoires, Ministero dell'Economia e delle Finanze
Cites: 29
Cited by: 16
Related to: 10
FWCI: 3.995
Citation percentile (by year/subfield): 94.63
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green