Thursday, April 20
Mathematics Colloquium
03:35 PM - 04:35 PM
Location: Science Center Room 323
Cost: Free

Speaker: Rodrigue Nguimfack

Advisor: Dr. Ruihua Liu

Title: Optimal Investment and Consumption in Regime-Switching Jump Diffusion Models

Abstract: This project is concerned with an optimal investment and consumption problem in continuous time regime-switching jump diffusion models. The market consists of one bond and n ≥ 1 correlated stocks. An investor distributes his/her wealth among these assets and consumes at a non-negative rate. The model parameters (the interest rate, the appreciation rates, the volatilities, and the jump intensities) are assumed to depend on a continuous-time Markov chain with a finite number of states. The objective of the optimization problem is to maximize the expected discounted total utility of consumption. Dynamic programming approach is used to solve the optimization problems. We consider both infinite and finite horizons cases. We treat the three commonly used utility functions: power utility, logarithmic utility, and the exponential utility. We derive closed-form solutions for some special cases. Numerical examples are provided to show the impact of the introduced regime-switching on optimal investment and consumption policies.

Refreshments are available at 3:00 PM in SC 313F.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend. 

Contact Information:
Name: Paul Eloe