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DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING

✍ Scribed by Agostino Capponi; José E. Figueroa-López

Book ID
115226874
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
860 KB
Volume
24
Category
Article
ISSN
0960-1627

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We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th