Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/51374
Citations | ||
Scopus | Web of ScienceĀ® | Altmetric |
---|---|---|
?
|
?
|
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Methodology and Computing in Applied Probability, 2009; 11(Sp Iss 2):145-157 | - |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.issn | 1573-7713 | - |
dc.identifier.uri | http://hdl.handle.net/2440/51374 | - |
dc.description.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. | - |
dc.description.statementofresponsibility | Robert J. Elliott and Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | Kluwer Academic Publishers | - |
dc.source.uri | http://dx.doi.org/10.1007/s11009-008-9085-3 | - |
dc.subject | Robust optimal portfolio | - |
dc.subject | Utility maximization | - |
dc.subject | Model uncertainty | - |
dc.subject | Stochastic differential game | - |
dc.subject | Change of measures | - |
dc.title | Robust optimal portfolio choice under Markovian regime-switching model | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1007/s11009-008-9085-3 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.