HARA utility maximization in a Markov-switching bond-stock market
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A dynamic programming approach to constrained portfolios
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A stochastic differential game for optimal investment of an insurer with regime switching
- An equilibrium characterization of the term structure
- An explicitly solvable Heston model with stochastic interest rate
- Continuous-time stochastic control and optimization with financial applications
- Dynamics of implied volatility surfaces
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- HARA frontiers of optimal portfolios in stochastic markets
- Hidden Markov Models for Time Series
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- MEAN-REVERTING STOCHASTIC VOLATILITY
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- On the Heston model with stochastic interest rates
- Optimal investment in multidimensional Markov-modulated affine models
- Optimal investment with minimum performance constraints
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal portfolios for financial markets with Wishart volatility
- Optimal portfolios with a positive lower bound on final wealth
- Optimum consumption and portfolio rules in a continuous-time model
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio selection in stochastic markets with HARA utility functions
- Pricing of discount bonds with a Markov switching regime
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Regime-switching univariate diffusion models of the short-term interest rate
- Robust optimal portfolio choice under Markovian regime-switching model
- Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Stochastic Interest Rates and the Bond-Stock Mix
- Theory of constant proportion portfolio insurance
- Utility maximization in affine stochastic volatility models
- What good is a volatility model?
Cited in
(4)- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
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