OPTIMAL PORTFOLIO IN A CONTINUOUS-TIME SELF-EXCITING THRESHOLD MODEL

被引：8

作者：

Meng, Hui ^{[1
]}

Yuen, Fei Lung ^{[2
,3
]}

Siu, Tak Kuen ^{[4
,5
,6
]}

Yang, Hailiang ^{[7
]}

机构：

[1] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China

[2] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland

[3] Heriot Watt Univ, Maxwell Inst Math Sci, Edinburgh EH14 4AS, Midlothian, Scotland

[4] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[5] Macquarie Univ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

[6] Macquarie Univ, Ctr Financial Risk, Fac Business & Econ, Sydney, NSW 2109, Australia

[7] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2013年 / 9卷 / 02期

关键词：

Portfolio selection; self-exciting threshold model; regime switching; power utility; logarithmic utility; SELECTION; EQUILIBRIUM;

D O I：

10.3934/jimo.2013.9.487

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. This model provides a way to describe the effect of regime switching on price dynamics via the self-exciting threshold principle. Its main advantage is to incorporate the regime switching effect without introducing an additional source of uncertainty. A martingale approach is used to discuss the problem. Analytical solutions are derived in some special cases. Numerical examples are given to illustrate the regime-switching effect described by the proposed model.

引用

页码：487 / 504

页数：18

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