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Robust optimal portfolio choice under Markovian regimes-switching model

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/138690

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Title: Robust optimal portfolio choice under Markovian regimes-switching model
Related: Methodology and computing in applied probability, Vol. 11, Issue 2, (2009), p.145-157
DOI: 10.1007/s11009-008-9085-3
Publisher: Springer
Date: 2009
FoR/RFCD Code(s): 010400 Statistics 010300 Numerical and Computational Mathematics 080200 Computation Theory and Mathematics
Author/Creator: Elliott, Robert J
Author/Creator: Siu, Tak Kuen
Description: We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financial market when an economic agent faces model uncertainty and seeks a robust optimal portfolio strategy. The key market parameters are assumed to be modulated by a continuous-time, finite-state Markov chain whose states are interpreted as different states of an economy. The goal of the agent is to maximize the minimal expected utility of terminal wealth over a family of probability measures in a finite time horizon. The problem is then formulated as a Markovian regime-switching version of a two-player, zero-sum stochastic differential game between the agent and the market. We solve the problem by the Hamilton-Jacobi-Bellman approach.
Description: 13 page(s)
Subject Keyword: 010400 Statistics
Subject Keyword: 010300 Numerical and Computational Mathematics
Subject Keyword: 080200 Computation Theory and Mathematics
Subject Keyword: Robust optimal portfolio
Subject Keyword: Utility maximization
Subject Keyword: Model uncertainty
Subject Keyword: Stochastic differential game
Subject Keyword: Change of measures
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

Identifier: http://hdl.handle.net/1959.14/138690
Identifier: ISSN:1387-5841
Identifier: mq-rm-2009002171
Language: eng
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