Optimal portfolio in a continuous - time self
نویسندگان
چکیده
This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. This model provides a way to describe the effect of regime switching on price dynamics via the selfexciting threshold principle. Its main advantage is to incorporate the regime switching effect without introducing an additional source of uncertainty. A martingale approach is used to discuss the problem. Analytical solutions are derived in some special cases. Numerical examples are given to illustrate the regime-switching effect described by the proposed model.
منابع مشابه
Continuous time portfolio optimization
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
متن کاملBetter than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach
6 7 Expanded Version 8 We generalize the idea of semi-self-financing strategies, originally discussed in Ehrbar, Journal of 9 Economic Theory (1990), and later formalized in Cui et al, Mathematical Finance 22 (2012), for 10 the pre-commitment mean-variance (MV) optimal portfolio allocation problem. The proposed 11 semi-self-financing strategies are built upon a numerical solution framework for ...
متن کاملOutperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process
This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...
متن کاملOptimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
This article studies the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework. Optimal contracts are obtained in closed form. These contracts are of a symmetric form and suggest that a portfolio manager should receive a fixed fee, a fraction of the total assets under management, plus a bonus or a penalty depending...
متن کاملOptimal Portfolio Allocation based on two Novel Risk Measures and Genetic Algorithm
The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...
متن کامل