Worst-case portfolio optimization in a market with bubbles (Q2800049)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Worst-case portfolio optimization in a market with bubbles |
scientific article; zbMATH DE number 6568916
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case portfolio optimization in a market with bubbles |
scientific article; zbMATH DE number 6568916 |
Statements
14 April 2016
0 references
optimal investment
0 references
market crashes
0 references
worst case scenario
0 references
regime-switching
0 references
financial bubbles
0 references
Worst-case portfolio optimization in a market with bubbles (English)
0 references
The paper considers utility maximization in the presence of asset bubbles. Bubbles are modeled via a Markov chain with \(d\) states. When the state is switched into a bubble state, there will be a stopping time at which the bubble will crash determining a negative jump of the stock price. Somewhat in contrast with the economic literature, no characterization of bubbles is offered other than its negative, random impact on prices. Agents follow a max min criterion where minimization is over crash scenarios.
0 references
