RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

DOI10.1142/S0219024915500090zbMath1337.91073MaRDI QIDQ5249751

Daniele Marazzina, Emilio Basrucci

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

regime switchinginvestmentremunerationbonus

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (6)

Portfolio management with benchmark related incentives under mean reverting processes ⋮ Optimal strategy for a fund manager with option compensation ⋮ Implicit incentives for fund managers with partial information ⋮ The value of knowing the market price of risk ⋮ Asset management, high water mark and flow of funds ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk

Cites Work

• Option pricing and Esscher transform under regime switching
• Optimal portfolio choice for unobservable and regime-switching mean returns
• Continuous-time stochastic control and optimization with financial applications
• Asset allocation under multivariate regime switching
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• An Optimal Dividend and Investment Control Problem under Debt Constraints
• AMERICAN OPTIONS WITH REGIME SWITCHING
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• The return on investment from proportional portfolio strategies
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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