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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/1050| Title: | Risk sensitive portfolio optimization in a jump diffusion model with regimes |
| Authors: | DAS, MILAN KUMAR GOSWAMI, ANINDYA Rana, Nimit Dept. of Mathematics |
| Keywords: | Mathematics Portfolio optimization Jump diffusion market model Semi-Markov switching Risk sensitive criterion TOC-JUNE-2018 2018 |
| Issue Date: | Apr-2018 |
| Publisher: | Society for Industrial and Applied Mathematics |
| Citation: | SIAM Journal on Control and Optimization. 56(2). |
| Abstract: | This article studies a portfolio optimization problem, where the mar- ket consisting of several stocks is modeled by a multi-dimensional jump diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive portfolio optimization on the finite time horizon. We study the problem by using a probabilistic approach to establish the existence and uniqueness of the classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation. We also implement a numerical scheme to investigate the behavior of solutions for different values of the initial portfolio wealth, the maturity, and the risk of aversion parameter |
| URI: | http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/1050 https://doi.org/10.1137/17M1121809 |
| ISSN: | 1095-7138 |
| Appears in Collections: | JOURNAL ARTICLES |
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