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
  • [31] Optimal Investment and Consumption with Proportional Transaction Costs in Regime-Switching Model
    Liu, Ruihua
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2014, 163 (02) : 614 - 641
  • [32] Optimal Investment and Consumption with Proportional Transaction Costs in Regime-Switching Model
    Ruihua Liu
    Journal of Optimization Theory and Applications, 2014, 163 : 614 - 641
  • [33] Optimal portfolio strategy under regime switching model.
    Yang, Hailiang
    INSURANCE MATHEMATICS & ECONOMICS, 2006, 39 (03): : 411 - 412
  • [34] Optimal Portfolio Choice under Hidden Regime Switching Model
    Chen, Zhiying
    Peng, Xuanhua
    Li, Yongkui
    PROCEEDINGS OF THE FIFTH SYMPOSIUM OF RISK ANALYSIS AND RISK MANAGEMENT IN WESTERN CHINA (WRARM 2017), 2017, 152 : 244 - 249
  • [35] RISK SENSITIVE PORTFOLIO OPTIMIZATION WITH DEFAULT CONTAGION AND REGIME-SWITCHING
    Bo, Lijun
    Liao, Huafu
    Yu, Xiang
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 57 (01) : 366 - 401
  • [36] Numerical solutions of regime-switching jump diffusions
    Tuan Anh Hoang
    Yin, George
    Xi, Fubao
    APPLIED MATHEMATICS AND COMPUTATION, 2014, 244 : 822 - 835
  • [37] Portfolio selection with regime-switching and state-dependent preferences
    Wei, Jiaqin
    Shen, Yang
    Zhao, Qian
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2020, 365 (365)
  • [38] Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation
    Peng, Cheng
    Kim, Young Shin
    Mittnik, Stefan
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (05)
  • [39] A PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING RISK FACTORS FOR SECTOR EXCHANGE TRADED FUNDS
    Ma, Ying
    MacLean, Leonard
    Xu, Kuan
    Zhao, Yonggan
    PACIFIC JOURNAL OF OPTIMIZATION, 2011, 7 (02): : 281 - 296
  • [40] A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
    Elliott, Robert J.
    Chan, Leunglung
    Siu, Tak Kuen
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2015, 18 (04)
12345