Optimal portfolio in a continuous-time self-exciting threshold model

DOI10.3934/jimo.2013.9.487zbMath1274.91389OpenAlexW2081377551MaRDI QIDQ380475

Hui Meng, Hailiang Yang, Tak Kuen Siu, Fei Lung Yuen

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.487

zbMATH Keywords

regime switchingportfolio selectionlogarithmic utilityself-exciting threshold modelpower utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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