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Portfolio Optimization in a Semi-Markov Modulated Market

DSpace at IIT Bombay

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Title Portfolio Optimization in a Semi-Markov Modulated Market
 
Creator GHOSH, MK
GOSWAMI, A
KUMAR, SK
 
Subject risk-sensitive control
optimal investment model
continuous-time model
selection
management
choice
risk-sensitive control
semi-markov process
fixed income securities
nonnegative factors
 
Description We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.
 
Publisher SPRINGER
 
Date 2011-08-29T17:06:01Z
2011-12-26T12:58:41Z
2011-12-27T05:49:03Z
2011-08-29T17:06:01Z
2011-12-26T12:58:41Z
2011-12-27T05:49:03Z
2009
 
Type Article
 
Identifier APPLIED MATHEMATICS AND OPTIMIZATION, 60(2), 275-296
0095-4616
http://dx.doi.org/10.1007/s00245-009-9074-0
http://dspace.library.iitb.ac.in/xmlui/handle/10054/12140
http://hdl.handle.net/10054/12140
 
Language en