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Portfolio optimization in a regime-switching market with derivatives

✍ Scribed by Fu, Jun; Wei, Jiaqin; Yang, Hailiang

Book ID
121183034
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
479 KB
Volume
233
Category
Article
ISSN
0377-2217

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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