Asset Allocation with Regime-Switching: Discrete-Time Case

DOI10.2143/AST.34.1.504957zbMath1098.91049MaRDI QIDQ4661699

Ka Chun Cheung, Hailiang Yang

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

Bellman equationstochastic orderoptimal trading strategypower utility functionfinite-state Markovian chain

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

Related Items (4)

Optimal asset allocation for outperforming a stochastic benchmark target ⋮ Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint ⋮ Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state ⋮ An optimal investment and consumption model with stochastic returns

Cites Work

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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Stock Trading: An Optimal Selling Rule
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• A Regime-Switching Model of Long-Term Stock Returns

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