Portfolio Optimization in a Semi-Markov Modulated Market
| Autor: | Suresh K. Kumar, Mrinal K. Ghosh, Anindya Goswami |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2009 |
| Předmět: |
Fixed Income Securities
Mathematical optimization Control and Optimization Horizon (archaeology) Markov chain Applied Mathematics Optimal Investment Model Risk-Sensitive Control Time horizon Nonnegative Factors Finite horizon Continuous-Time Model Management General Relativity and Quantum Cosmology Choice Terminal (electronics) Merton's portfolio problem Semi-Markov Process Portfolio optimization Selection Expected utility hypothesis Mathematics |
| Zdroj: | IndraStra Global. |
| ISSN: | 2381-3652 |
| Popis: | We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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