Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

Jin, Zhuo; Guo, Liu; Yang, Hailiang

doi:10.1016/j.ejor.2019.07.066

Cited by 24 publications

(10 citation statements)

References 18 publications

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“…The Markov regime-switching (MS) model, one of the nonlinear models pioneered by Hamilton (1989), is widely used in economics and finance literature (Engel and Hamilton, 1990; Bilgili et al , 2012; Doğan and Bilgili, 2014; Ning and Zhang, 2018; Jin et al , 2020). This model has emerged as a leading analysis for the detection and dating of business cycle turning points (Krolzig, 2001).…”

Section: Methodology: Markov Regime-switching Modelmentioning

confidence: 99%

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Bilgili

Ünlü

Gençoğlu

et al. 2021

AEA

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Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects of exchange rates on domestic prices. Design/methodology/approach The paper launches several nonlinear models in which the basic determinants of domestic prices in Turkey are determined through Markov regime-switching models (MSMs). Hence, this research follows the variables of the consumer price index (CPI), USD exchange rate, gross domestic product (GDP; demand side of the economy), industrial production index (production side of the economy), economic uncertainty and geopolitical risk index for Turkey. Findings This work explores that the exchange rate and demand side of the economy (GDP) follow a positive nonlinear relationship with CPI at both regimes. The production side of the economy (IP) affects negatively the CPI during regime 0. Economic uncertainty influences the CPI positively at Regime 1, while geopolitical risk has a negative association with CPI at Regime 0. Eventually, the paper provides some policy proposals associated with the impacts of GDP, IP, economic uncertainty and geopolitical risk on CPI in Turkey. Originality/value One may claim that any PT model, which does not observe the possible structural or regime shifts in estimated parameters, might fail to estimate the coefficients unbiasedly and efficiently. Hence, this work differs from available relevant works in the literature since this paper considers linearity or nonlinearity important and reveals that the relevant PT model follows a nonlinear path rather than a linear path, this nonlinear path is converged strongly by MSMs and estimates the significant regime shifts in the constant term and, in parameters of independent variables of PT by MSMs.

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Section: Methodology: Markov Regime-switching Modelmentioning

confidence: 99%

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Bilgili

Ünlü

Gençoğlu

et al. 2021

AEA

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“…Some Singapore researchers pay attention to this, but from the technical side of the problem (Challa, 2018;Li et al, 2019), leaving out of sight its organizational and legal aspects. An important point in ensuring cybersecurity is a risk management system that allows you to allocate all available resources depending on a particular scenario of negative impact on the operating systems of financial and banking institutions (Jin et al, 2020;Zhang et al, 2018). Some researches study the specific functions of investment banking (Battista, 2015;Bradford, 2012) leaving behind the brackets such issues as ensuring investors' rights.…”

Section: Literature Reviewmentioning

confidence: 99%

Artificial Intelligence Technology And Investments Guarantees In Banking: The Cybersecurity Aspect

Gorian¹

2021

European Proceedings of Social and Behavioural Sciences

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“…A special case is the American options, where an optimal stopping problem arise, see [10] or [26], the latter is motivated by a subsidy support problem. Nowadays, the modulation of the market is still an interesting research topic, as in [21], where a more complex and realistic optimal consumption/investment problem is formulated.…”

Section: Introductionmentioning

confidence: 99%

An Anticipative Markov Modulated Market

D’Auria¹,

Salmerón²

2022

Preprint

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A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we assume the existence of such modulation in a market and, as a novelty, we assume that it can be anticipative with respect to the future of the Brownian motion that drives the dynamics of the risky asset. By employing these own techniques of enlargement of filtrations, we solve an optimal portfolio utility problem in both a complete and an incomplete market. Many examples of anticipative Markov chains are presented for which we compute the additional gain of the investor who has a more accurate information.

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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

Cited by 24 publications

References 18 publications

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Artificial Intelligence Technology And Investments Guarantees In Banking: The Cybersecurity Aspect

An Anticipative Markov Modulated Market

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