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Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model by Ma, Aiqin (author);Zhang, Cuiyun (author);Wang, Yubing (author) is a Mathematics article available to read on EtoBox.

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In this paper, we investigate the optimal consumption and investment problem under the expected utility maximization criterion. It is supposed that the financial market consists of a risky asset and a risk-free asset, and the risky asset prices follow the 4/2 Cox–Ingersoll–Ross (CIR) stochastic hybrid model. The investment objective is to obtain an optimal consumption–investment strategy by maximizing the objective function. The closed-form expression of the optimal consumption–investment strategy is obtained by using optimal control theory and the corresponding Hamilton–Jacobi–Bellman (HJB) equation under the power utility function. In addition, we present a numerical example to illustrate the influence of model parameters on the optimal consumption–investment strategy.

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Author

Ma, Aiqin (author);Zhang, Cuiyun (author);Wang, Yubing (author)

Publisher

MDPI AG

Published

2023

Language

EN

Field

Mathematics (Physical Sciences)