Portfolio optimization with unobservable Markov-modulated drift process
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization with Unobservable Markov-modulated Drift Process
We study portfolio optimization problems in which the drift rate of the stock is Markov modulated and the driving factors cannot be observed by the investor. Using results from filter theory, we reduce this problem to one with complete observation. In the cases of logarithmic and power utility, we solve the problem explicitly with the help of stochastic control methods. It turns out that the va...
متن کاملGrowth Optimal Portfolio for unobservable Markov-modulated markets
The paper studies the benchmark approach for pricing and hedging in incomplete markets where the investor has to filter the incomplete information. We consider a jump diffusion Markov modulated market model and derive the growth optimal portfolio (GOP), by using the stochastic control method. Using GOP, we price and hedge European options where the existence of the equivalent martingale measure...
متن کاملPortfolio Optimization with Jumps and Unobservable Intensity Process
We consider a financial market with one bond and one stock. The dynamics of the stock price process allow jumps which occur according to a Markov-modulated Poisson process. We assume that there is an investor who is only able to observe the stock price process and not the driving Markov chain. The investor’s aim is to maximize the expected utility of terminal wealth. Using a classical result fr...
متن کاملMarkov-modulated Hawkes process with stepwise decay
This paper proposes a new model—the Markov-modulated Hawkes process with stepwise decay (MMHPSD)—to investigate the variation in seismicity rate during a series of earthquake sequences including multiple main shocks. The MMHPSD is a self-exciting process which switches among different states, in each of which the process has distinguishable background seismicity and decay rates. Parameter estim...
متن کاملDynamic portfolio optimization with transaction costs and state-dependent drift
The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximationof the continuous timeprice processes. Using this approximation,wepresent an efficient numerical method to determine optimal portfolio strategies under timeand state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral b...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2005
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1118777176