Numerical Approach to Optimal Portfolio in a Power Utility Regime-Switching Model

被引：4
|
作者：
Gyulov, Tihomir B. [1 ]
Koleva, Miglena N. [1 ]
Vulkov, Lubin G. [2 ]
机构：
[1] Ruse Univ, Dept Math, 8 Studentska St, Ruse 7017, Bulgaria
[2] Ruse Univ, Dept Appl Math & Stat, 8 Studentska St, Ruse 7017, Bulgaria
来源：
PROCEEDINGS OF THE 43RD INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'17) | 2017年 / 1910卷
关键词：
PARABOLIC-ODE SYSTEM; EUROPEAN OPTIONS; SCHEMES;
D O I：
10.1063/1.5013961
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We consider a system of weakly coupled degenerate semi-linear parabolic equations of optimal portfolio in a regime-switching with power utility function, derived by A.R. Valdez and T. Vargiolu [14]. First, we discuss some basic properties of the solution of this system. Then, we develop and analyze implicit-explicit, flux limited finite difference schemes for the differential problem. Numerical experiments are discussed.
引用
收藏
页数：8
相关论文
共 50 条
  • [1] Numerical method for optimal portfolio in an exponential utility regime-switching model
    Koleva, Miglena N.
    Vulkov, Lubin G.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2020, 97 (1-2) : 120 - 140
  • [2] Numerical Analysis of a Finite Difference Scheme for Optimal Portfolio in a Power Utility Regime-Switching Model
    Koleva, Miglena N.
    Vulkov, Lubin G.
    [J]. APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE20), 2021, 2333
  • [3] Optimal Portfolio in a Regime-switching Model
    Valdez, Adrian Roy L.
    Vargiolu, Tiziano
    [J]. SEMINAR ON STOCHASTIC ANALYSIS, RANDOM FIELDS AND APPLICATIONS VII, 2013, 67 : 435 - 449
  • [4] Efficient finite difference method for optimal portfolio in a power utility regime-switching model
    Gyulov, Tihomir B.
    Koleva, Miglena N.
    Vulkov, Lubin G.
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019, 96 (11) : 2115 - 2134
  • [5] Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model
    Koleva, Miglena N.
    Vulkov, Lubin G.
    [J]. NUMERICAL METHODS AND APPLICATIONS, NMA 2018, 2019, 11189 : 424 - 432
  • [6] Robust Optimal Portfolio Choice Under Markovian Regime-switching Model
    Elliott, Robert J.
    Siu, Tak Kuen
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2009, 11 (02) : 145 - 157
  • [7] Robust Optimal Portfolio Choice Under Markovian Regime-switching Model
    Robert J. Elliott
    Tak Kuen Siu
    [J]. Methodology and Computing in Applied Probability, 2009, 11 : 145 - 157
  • [8] THE TIMING OF PORTFOLIO ADJUSTMENTS: A REGIME-SWITCHING APPROACH
    Fan, Guobin
    Zeng, Yong
    [J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2012, 11 (05) : 909 - 933
  • [9] Optimal dynamic futures portfolio in a regime-switching market framework
    Leung, Tim
    Zhou, Yang
    [J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2019, 6 (04):
  • [10] Optimal portfolio choice for unobservable and regime-switching mean returns
    Honda, T
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2003, 28 (01): : 45 - 78
12345