会议专题

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

2010 International Conference of Informationa Science and Management Engineering(2010年信息科学与管理工程国际学术会议 ISME 2010)

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)