๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

โœ Scribed by Donnelly, Catherine; Heunis, Andrew J.

Book ID
118205871
Publisher
Society for Industrial and Applied Mathematics
Year
2012
Tongue
English
Weight
383 KB
Volume
50
Category
Article
ISSN
0363-0129

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Optimal portfolios with regime switching
Optimal portfolios with regime switching and value-at-risk constraint
โœ Ka-Fai Cedric Yiu; Jingzhen Liu; Tak Kuen Siu; Wai-Ki Ching ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 591 KB

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