Optimal Portfolio in a Regime-switching Model
From MaRDI portal
Publication:5746536
DOI10.1007/978-3-0348-0545-2_22zbMath1281.91146OpenAlexW275374818MaRDI QIDQ5746536
Adrian Roy L. Valdez, Tiziano Vargiolu
Publication date: 19 February 2014
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_22
HJB equationutility maximizationregime-switching modelsexponential utilitylogarithmic utilitypower utilitymutual fund theorem
Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Second-order parabolic systems (35K40)
Related Items (8)
Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ Value functions in a regime switching jump diffusion with delay market model ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term. ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ Numerical method for optimal portfolio in an exponential utility regime-switching model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Option-based risk management of a bond portfolio under regime switching interest rates
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Applied stochastic control of jump diffusions.
- Pricing exotic options under regime switching
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- In which financial markets do mutual fund theorems hold true?
- The Evaluation of Gas Swing Contracts with Regime Switching
- Utility–indifference hedging and valuation via reaction–diffusion systems
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Information and option pricings
- Financial Modelling with Jump Processes
- Handbook of Volatility Models and Their Applications
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
- Arbitrage Theory in Continuous Time
This page was built for publication: Optimal Portfolio in a Regime-switching Model