𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Portfolio Optimization in a Semi-Markov Modulated Market

✍ Scribed by Mrinal K. Ghosh; Anindya Goswami; Suresh K. Kumar

Publisher
Springer
Year
2009
Tongue
English
Weight
478 KB
Volume
60
Category
Article
ISSN
0095-4616

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Optimality in Feller semi-Markov control
Optimality in Feller semi-Markov control processes
✍ Anna JaΕ›kiewicz; Andrzej S. Nowak πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 180 KB

Semi-Markov control processes with Borel state space and Feller transition probabilities are considered. The objective of the paper is to prove coincidence of two expected average costs: the time-average and the ratio-average for stationary policies. Moreover, the optimal stationary policy is the sa

Monte Carlo computation of optimal portf
Monte Carlo computation of optimal portfolios in complete markets
✍ JakΕ‘a CvitaniΔ‡; Levon Goukasian; Fernando Zapatero πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 165 KB

We introduce a method that relies exclusively on Monte Carlo simulation in order to compute numerically optimal portfolio values for utility maximization problems. Our method is quite general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applie