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https://hdl.handle.net/2440/51374
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Type: | Journal article |
Title: | Robust optimal portfolio choice under Markovian regime-switching model |
Author: | Elliott, R. Siu, T. |
Citation: | Methodology and Computing in Applied Probability, 2009; 11(Sp Iss 2):145-157 |
Publisher: | Kluwer Academic Publishers |
Issue Date: | 2009 |
ISSN: | 1387-5841 1573-7713 |
Statement of Responsibility: | Robert J. Elliott and Tak Kuen Siu |
Abstract: | We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financial market when an economic agent faces model uncertainty and seeks a robust optimal portfolio strategy. The key market parameters are assumed to be modulated by a continuous-time, finite-state Markov chain whose states are interpreted as different states of an economy. The goal of the agent is to maximize the minimal expected utility of terminal wealth over a family of probability measures in a finite time horizon. The problem is then formulated as a Markovian regime-switching version of a two-player, zero-sum stochastic differential game between the agent and the market. We solve the problem by the Hamilton-Jacobi-Bellman approach. |
Keywords: | Robust optimal portfolio Utility maximization Model uncertainty Stochastic differential game Change of measures |
DOI: | 10.1007/s11009-008-9085-3 |
Published version: | http://dx.doi.org/10.1007/s11009-008-9085-3 |
Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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