Ghosh, Mrinal K. ; Goswami, Anindya ; Kumar, Suresh K. (2009) Portfolio optimization in a semi-markov modulated market Applied Mathematics & Optimization, 60 (2). pp. 275-296. ISSN 0095-4616
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Official URL: http://www.springerlink.com/content/66371771683705...
Related URL: http://dx.doi.org/10.1007/s00245-009-9074-0
Abstract
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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer-Verlag. |
| Keywords: | Risk-sensitive Control; Semi-markov Process; Fixed Income Securities; Nonnegative Factors |
| ID Code: | 11974 |
| Deposited On: | 10 Nov 2010 06:38 |
| Last Modified: | 02 Jun 2011 07:36 |
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