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Optimal portfolio selection in a reg...
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Zeng, Xudong.
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Optimal portfolio selection in a regime switching model.
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Optimal portfolio selection in a regime switching model./
作者:
Zeng, Xudong.
面頁冊數:
82 p.
附註:
Adviser: Jaksa Cvitanic.
Contained By:
Dissertation Abstracts International67-10B.
標題:
Mathematics. -
電子資源:
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.
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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.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3237739
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