کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
479850 1446038 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Portfolio optimization in a regime-switching market with derivatives
ترجمه فارسی عنوان
بهینه سازی نمونه کارها در یک بازار سوئیچ رژیم با مشتقات
کلمات کلیدی
اپراتور عملکرد رویکرد انعطاف پذیر، بهینه سازی نمونه کارها، تغییر رژیم، اصل برنامه ریزی پویا
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• Optimal asset allocation problem in a continuous-time regime-switching market.
• The portfolio contains an option, an underlying stock and a risk-free bond.
• The problem is solved by introducing a functional operator.
• We use the dynamic programming approach which is a often used method in operational researcher.

We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is finding a way to represent the return of the option by the returns of the stock and the risk-free bond in an incomplete regime-switching market. To overcome this difficulty, we introduce a functional operator to generate a sequence of value functions, and then show that the optimal value function is the limit of this sequence. The explicit form of each function in the sequence can be obtained by solving an auxiliary portfolio optimization problem in a single-regime market. And then the original optimal value function can be approximated by taking the limit. Additionally, we can also show that the optimal value function is a solution to a dynamic programming equation, which leads to the explicit forms for the optimal value function and the optimal portfolio process. Furthermore, we demonstrate that, as long as the current state of the Markov chain is given, it is still optimal for an investor in a multiple-regime market to simply allocate his/her wealth in the same way as in a single-regime market.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 233, Issue 1, 16 February 2014, Pages 184–192
نویسندگان
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