PORTFOLIO SELECTION IN THE ENLARGED MARKOVIAN REGIME-SWITCHING MARKET

被引：18
|
作者：
Zhang, Xin [2 ,5 ]
Siu, Tak Kuen [3 ,4 ]
Meng, Qingbin [1 ]
机构：
[1] Renmin Univ China, Sch Business, Beijing 100872, Peoples R China
[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
[3] Macquarie Univ, Dept Actuarial Studies, Fac Business & Econ, Sydney, NSW 2109, Australia
[4] Macquarie Univ, Ctr Financial Risk, Fac Business & Econ, Sydney, NSW 2109, Australia
[5] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2010年 / 48卷 / 05期
基金：
澳大利亚研究理事会; 中国国家自然科学基金;
关键词：
portfolio optimization; Markovian regime-switching market; enlargement of market; geometric Markovian jump securities; dynamic programming; Hamilton-Jacobi-Bellman equations; CONTINUOUS-TIME MODEL; LEVY MARKET; OPTIMAL INVESTMENT; OPTIMIZATION; MARTINGALE;
D O I：
10.1137/080736351
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study a portfolio selection problem in a continuous-time Markovian regime-switching model. The market in this model is, in general, incomplete. We adopt a method to complete the market based on an enlargement of the market using a set of geometric Markovian jump securities. We solve the portfolio selection problem in the enlarged market for a power utility and a logarithmic utility. Closed-form solutions for the optimal portfolio strategies and the value functions are obtained in both cases. We also establish the relationship between the optimal portfolio problems in the enlarged market and the original market.
引用
收藏
页码：3368 / 3388
页数：21
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