Optimal Portfolio Selection in an Itô–Markov Additive Market
نویسندگان
چکیده
منابع مشابه
Optimal portfolio selection and compression in an incomplete market ∗
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compression problem. By this we mean that an admissible strategies may include no more...
متن کاملevidence of adverse selection in irans health insurance market
در این تحقیق به مطالعه وجود انتخاب نامساعد(کژ گزینی) در بازار بیمه درمان تکمیلی ایران پرداخته شده است. داده های مورد نیاز توسط پرسشنامه و به روش نمونه گیری خوشه ای جمع آوری شده است. پرسشنامه ها در میان افراد شاغل ساکن شهر تهران توریع شد. در این تحقیق با استفاده از تخمین دو مدل لجستیک و به دست آوردن ضریب همبستگی میان تقاضای بیمه درمان تکمیلی و رخداد خسارت به بررسی موضوع مورد نظر پرداخته شده است....
15 صفحه اولOptimal Smooth Portfolio Selection for An Insider
Abstract We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses Malliavin calculus and stochastic calculus of forward integrals. We obtain new results about the enlargement of...
متن کاملAn algorithm for portfolio selection in a frictional market
Absolute deviation is utilized as a measure of risk and a new function is provided for it. We consider the mean-absolute deviation (MAD) portfolio optimization problem in a frictional market with additional constraints representing the socalled short sales. An algorithm for solving the optimization problem is thus presented, which uses the special structure of the original problem to reduce to ...
متن کاملOptimal portfolio choice in the bond market
We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath–Jarrow–Morton model of the interest rate term structure driven by an infinite-dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal trading strategy. When there is uniqueness, we provide a cha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Risks
سال: 2019
ISSN: 2227-9091
DOI: 10.3390/risks7010034