Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
Portfolio Management
2019-10-21 v6 Analysis of PDEs
Optimization and Control
Probability
Abstract
This article studies a portfolio optimization problem, where the market 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.
Keywords
Cite
@article{arxiv.1603.09149,
title = {Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes},
author = {Milan Kumar Das and Anindya Goswami and Nimit Rana},
journal= {arXiv preprint arXiv:1603.09149},
year = {2019}
}
Comments
29 pages, 3 figures