Abstract—We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models includ-ing the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optim...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
Option valuation and asset allocation are important and practically relevant problems to financial m...
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching mod...
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
In this paper, we study the optimal asset allocation problem under a discrete regime switching model...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
Theoretical thesis.Bibliography: pages 145-155.1. Introduction -- 2. Option valuation under a double...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
Option valuation and asset allocation are important and practically relevant problems to financial m...
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching mod...
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
We discuss the asset allocation problem in the important class of parametric non-linear time series ...
In this paper, we study the optimal asset allocation problem under a discrete regime switching model...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constr...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
Theoretical thesis.Bibliography: pages 145-155.1. Introduction -- 2. Option valuation under a double...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset a...
Option valuation and asset allocation are important and practically relevant problems to financial m...