Optimal Portfolio in a Regime-switching Model

DOI10.1007/978-3-0348-0545-2_22zbMath1281.91146MaRDI 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

zbMATH Keywords

HJB equation; utility maximization; regime-switching models; exponential utility; logarithmic utility; power utility; mutual fund theorem

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

35K40: Second-order parabolic systems

Related Items

Numerical method for optimal portfolio in an exponential utility regime-switching model, Efficient finite difference method for optimal portfolio in a power utility regime-switching model, Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching, 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, Fitted finite volume method for indifference pricing in an exponential utility regime-switching model, Portfolio optimization in a defaultable Lévy-driven market model, Value functions in a regime switching jump diffusion with delay market model

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