Risk sensitive portfolio optimization in a jump diffusion model with regimes

DAS, MILAN KUMAR; Rana, Nimit; GOSWAMI, ANINDYA

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dc.contributor.author	DAS, MILAN KUMAR	en_US
dc.contributor.author	GOSWAMI, ANINDYA	en_US
dc.contributor.author	Rana, Nimit	en_US
dc.date.accessioned	2018-06-15T05:18:12Z
dc.date.available	2018-06-15T05:18:12Z
dc.date.issued	2018-04	en_US
dc.identifier.citation	SIAM Journal on Control and Optimization. 56(2).	en_US
dc.identifier.issn	1095-7138	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/1050
dc.identifier.uri	https://doi.org/10.1137/17M1121809	en_US
dc.description.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	en_US
dc.language.iso	en	en_US
dc.publisher	Society for Industrial and Applied Mathematics	en_US
dc.subject	Mathematics	en_US
dc.subject	Portfolio optimization	en_US
dc.subject	Jump diffusion market model	en_US
dc.subject	Semi-Markov switching	en_US
dc.subject	Risk sensitive criterion	en_US
dc.subject	TOC-JUNE-2018	en_US
dc.subject	2018	en_US
dc.title	Risk sensitive portfolio optimization in a jump diffusion model with regimes	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	SIAM Journal on Control and Optimization	en_US
dc.publication.originofpublisher	Foreign	en_US