A martingale approach for asset allocation with derivative security and hidden economic risk
From MaRDI portal
Publication:5235050
DOI10.1017/jpr.2019.40zbMath1425.91408OpenAlexW2978990627WikidataQ127215878 ScholiaQ127215878MaRDI QIDQ5235050
Tak Kuen Siu, Jinxia Zhu, Hailiang Yang
Publication date: 7 October 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2019.40
Utility theory (91B16) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
Related Items
HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- A stochastic flows approach for asset allocation with hidden economic environment
- Portfolio optimization in a regime-switching market with derivatives
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Convex duality in constrained portfolio optimization
- Optimal control of option portfolios and applications
- Elasticity approach to portfolio optimization
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Asset pricing using trading volumes in a hidden regime-switching environment
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Hedging Pressure and Futures Price Movements in a General Equilibrium Model
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- The Malliavin Calculus and Related Topics
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Optimization Problems in the Theory of Continuous Trading
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
- Asset allocation and derivatives
- Long-term strategic asset allocation with inflation risk and regime switching
- RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Portfolio optimization with unobservable Markov-modulated drift process
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
