{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:26:44Z","timestamp":1787318804243,"version":"build-2736575974"},"reference-count":13,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"5","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Control Optim."],"published-print":{"date-parts":[[2010,1]]},"abstract":"<jats:p>Optimizing utility from terminal wealth with random endowment presents the difficulty that only numerical solutions are available for a power utility function. Numerical solutions are hard to obtain. In this paper, we derive an approximation to the solution of the relevant optimization problem. An additional analysis, e.g., a sensitivity analysis of the parameters, can be performed based on this approximation. As an extension of the Black\u2013Scholes model, we consider a regime switching market model.<\/jats:p>","DOI":"10.1137\/080733838","type":"journal-article","created":{"date-parts":[[2009,11,11]],"date-time":"2009-11-11T18:31:07Z","timestamp":1257964267000},"page":"2984-3002","source":"Crossref","is-referenced-by-count":2,"title":["On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment"],"prefix":"10.1137","volume":"48","author":[{"given":"Michael","family":"Taksar","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xudong","family":"Zeng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2009,11,11]]},"reference":[{"key":"R1","doi-asserted-by":"publisher","DOI":"10.1007\/PL00013534"},{"key":"R2","doi-asserted-by":"publisher","DOI":"10.1016\/0005-1098(94)90004-3"},{"key":"R3","unstructured":"R. J. Elliott, L. Aggoun, and J. B. Moore,\n                      Hidden Markov Models: Estimation and Control\n                      , Applications of Mathematics (New York) 29, Springer-Verlag, New York, 1995."},{"key":"R4","doi-asserted-by":"publisher","DOI":"10.1090\/conm\/351\/06396"},{"key":"R5","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2002.tb00129.x"},{"key":"R6","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(01)00052-5"},{"key":"R7","doi-asserted-by":"crossref","unstructured":"V. Henderson and D. Hobson,\n                      Utility indifference pricing\u2014an overview\n                      , in Indifference Pricing: Theory and Applications, R. Carmona, ed., Princeton University Press, Princeton, NJ, 2008.","DOI":"10.1515\/9781400833115.44"},{"key":"R8","doi-asserted-by":"crossref","unstructured":"P. E. Kloeden and E. Platen,\n                      Numerical Solution of Stochastic Differential Equations\n                      , Applications of Mathematics (New York) 23, Springer-Verlag, Berlin, 1992.","DOI":"10.1007\/978-3-662-12616-5"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1029962818"},{"key":"R10","doi-asserted-by":"publisher","DOI":"10.1007\/PL00013532"},{"key":"R11","doi-asserted-by":"publisher","DOI":"10.1137\/050639351"},{"key":"R12","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.2004.824479"},{"key":"R13","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012999356325"}],"container-title":["SIAM Journal on Control and Optimization"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/080733838","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T12:40:23Z","timestamp":1787316023000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/080733838"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,11,11]]},"references-count":13,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,1]]}},"alternative-id":["10.1137\/080733838"],"URL":"https:\/\/doi.org\/10.1137\/080733838","relation":{},"ISSN":["0363-0129","1095-7138"],"issn-type":[{"value":"0363-0129","type":"print"},{"value":"1095-7138","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,11,11]]}}}