Portfolio Optimization in a Semi-Markov Modulated Market
Journal Article
·
· Applied Mathematics and Optimization
- Indian Institute of Science, Department of Mathematics (India)
We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.
- OSTI ID:
- 21241841
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 60; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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