Portfolio optimization in a regime-switching market with derivatives
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Publication:297212
DOI10.1016/J.EJOR.2013.08.033zbMATH Open1339.91108OpenAlexW2081896339MaRDI QIDQ297212FDOQ297212
Authors: Jun Fu, Jiaqin Wei, Hailiang Yang 
Publication date: 24 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/198103
Recommendations
regime switchingportfolio optimizationdynamic programming principleelasticity approachfunctional operator
Portfolio theory (91G10) Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80)
Cites Work
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Cited In (38)
- A finite-horizon optimal investment and consumption problem using regime-switching models
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Asset-liability management with state-dependent utility in the regime-switching market
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Portfolio selection with regime-switching and state-dependent preferences
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- Optimal portfolio in a regime-switching model
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
- On maximizing CRRA utility in regime switching markets with random endowment
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Asset Allocation with Regime-Switching: Discrete-Time Case
- A spectral element method for option pricing under regime-switching with jumps
- Clustering financial time series: new insights from an extended hidden Markov model
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- A dynamic program for valuing corporate securities
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Optimal Switching over Multiple Regimes
- Title not available (Why is that?)
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Optimal portfolios with regime switching and value-at-risk constraint
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Risk sensitive portfolio optimization with default contagion and regime-switching
- A martingale approach for asset allocation with derivative security and hidden economic risk
- Portfolio selection in a two-regime world
- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Pandemic portfolio choice
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- A decomposition method for optimal portfolios with regime-switching and risk constraint
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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