We study a portfolio management problem featuring many-player and mean field
competition, investment and consumption, and relative performance concerns under the …

This paper studies finite-horizon consumption-portfolio decisions with recursive utility. We
show that the parameter seemingly representing the individual's bequest preference in …

RESUMO O artigo examina estratégias de investimento para carteiras baseadas em fatores
formadas pela integração de um modelo de múltiplos regimes com uma função de utilidade …

Context: regime switching models in asset allocation under the stochastic differential utility
function were not included in the literature until Campani, Garcia and Lewin (2020) model …

This work presents a novel method for finding near-optimal solutions to the life cycle
problem à la Merton with a time-varying investment opportunity set and portfolio constraints …

The paper examines investment strategies for factor-based portfolios formed by integrating a
regime-switching model with a stochastic recursive utility function. Drawing from the seminal …

This paper analyzes optimal portfolio and consumption strategies in a regime-switching
economy with unobservable states and predictability of risky asset returns. We develop …

We implement an allocation strategy through a regime-switching model using recursive
utility preferences in an out-of-sample exercise accounting for transaction costs. We study …

This article addresses a portfolio selection problem with trading costs on stock market. More
precisely, we develop a simple generalized method of moments (GMM)-based test …

The study investigates a dynamic asset allocation strategy in a regime-switching economy.
We applied the analytical solution proposed by Campani et al.(2021), ie, the CGL model …