Portfolio optimization in a regime-switching market with derivatives

DOI10.1016/j.ejor.2013.08.033zbMath1339.91108OpenAlexW2081896339MaRDI QIDQ297212

Jiaqin Wei, Hailiang Yang, Jun Fu

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

zbMATH Keywords

regime switchingportfolio optimizationdynamic programming principleelasticity approachfunctional operator

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• A variational problem arising in financial economics
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Asset allocation under multivariate regime switching
• Optimal portfolios: new variations of an old theme
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Elasticity approach to portfolio optimization
• HARA frontiers of optimal portfolios in stochastic markets
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Controlled Markov processes and viscosity solutions
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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