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Optimal portfolio selection in a reg...

Zeng, Xudong.

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Optimal portfolio selection in a regime switching model.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Optimal portfolio selection in a regime switching model./
Author:	Zeng, Xudong.
Description:	82 p.
Notes:	Adviser: Jaksa Cvitanic.
Contained By:	Dissertation Abstracts International67-10B.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3237739
ISBN:	9780542924057

Optimal portfolio selection in a regime switching model.
Zeng, Xudong.

Optimal portfolio selection in a regime switching model. - 82 p.

Adviser: Jaksa Cvitanic.

Thesis (Ph.D.)--University of Southern California, 2006.

In this thesis, we investigate a stock market and study various portfolio optimization problems in this market. To extend the Black-Sholes model, we consider a scheme-switching market model, in which both the drift and the volatility are driven by a discrete time, finite states Markov chain. We assume the Markov chain is independent of the underlying Brownian motions and only the price processes are observable. Using the Hidden Markov model filtering theory, all the parameters of the model can be estimated.

ISBN: 9780542924057Subjects--Topical Terms:

515831
Mathematics.

Optimal portfolio selection in a regime switching model.
LDR:02159nam 2200289 a 45 001 968888
005 20110920
008 110921s2006 eng d
020 $a 9780542924057
035 $a (UnM)AAI3237739
035 $a AAI3237739
040 $a UnM $c UnM
100 1 $a Zeng, Xudong. $3 1292943
245 1 0 $a Optimal portfolio selection in a regime switching model.
300 $a 82 p.
500 $a Adviser: Jaksa Cvitanic.
500 $a Source: Dissertation Abstracts International, Volume: 67-10, Section: B, page: 5798.
502 $a Thesis (Ph.D.)--University of Southern California, 2006.
520 $a In this thesis, we investigate a stock market and study various portfolio optimization problems in this market. To extend the Black-Sholes model, we consider a scheme-switching market model, in which both the drift and the volatility are driven by a discrete time, finite states Markov chain. We assume the Markov chain is independent of the underlying Brownian motions and only the price processes are observable. Using the Hidden Markov model filtering theory, all the parameters of the model can be estimated.
520 $a In this regime-switching model, we solve the problem of maximizing the utility from the terminal wealth. Approximate solutions are constructed for CRRA utility functions by applying dynamic programming in discrete time. In the case of random endowments involved, the problem of optimizing utility from terminal wealth with random endowments meets same difficulty as pricing non-traded assets by utility functions, that is, generally there is no explicit solution for a power law utility function. In this thesis, we derive an approximation of the optimal solution to the problem. Finally, using the same techniques, we solve the Markowitz' mean-variance portfolio selection problem and the Markowitz's mean-variance hedging problem in the regime-switching model.
590 $a School code: 0208.
650 4 $a Mathematics. $3 515831
650 4 $a Statistics. $3 517247
690 $a 0405
690 $a 0463
710 2 0 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 67-10B.
790 $a 0208
790 1 0 $a Cvitanic, Jaksa, $e advisor
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3237739