Optimal Portfolio in a Regime-switching Model

DOI10.1007/978-3-0348-0545-2_22zbMath1281.91146OpenAlexW275374818MaRDI 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 equationutility maximizationregime-switching modelsexponential utilitylogarithmic utilitypower utilitymutual fund theorem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Second-order parabolic systems (35K40)

Related Items (8)

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

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