A Continuous-time Utility Portfolio Selection in a market with Regime Switching
A continuous-time utility portfolio selection model is proposed and analyzed for a market consisting of one bank account and stock. The market parameters,including the bank interest rate and the appreciation and volatility rates of the stock,depend on the market mode that switches among a finite number of states,the random regime switching is assumed to be independent of the underlying Brownian motion,we construct an optimal portfolio using resultsfrom forward-backward stochastic differential equations theory. As an illustration, exact computation of the optimal strategy is done for the Logarithmic type utilities.
Xuanhui Liu Yajun Duan Min Wu
School of Science, Xian Polytechnic University, Xian 710048 China
国际会议
西安
英文
1094-1098
2010-08-07(万方平台首次上网日期,不代表论文的发表时间)