Title :
A Continuous-time Utility Portfolio Selection in a market with Regime Switching
Author :
Liu, Xuanhui ; Duan, Yajun ; Wu, Min
Author_Institution :
Sch. of Sci., Xian Polytech. Univ., Xian, China
Abstract :
A continuous-time utility portfolio selection model is proposed and analyzed for a market consisting of one bank account and stock. The market parameters, including the bank interest rate and the appreciation and volatility rates of the stock, depend on the market mode that switches among a finite number of states, the random regime switching is assumed to be independent of the underlying Brownian motion, we construct an optimal portfolio using results from forward-backward stochastic differential equations theory. As an illustration, exact computation of the optimal strategy is done for the Logarithmic type utilities.
Keywords :
Brownian motion; banking; differential equations; marketing; stock markets; Brownian motion; bank account; bank interest rate; continuous-time utility portfolio selection; forward-backward stochastic differential equations theory; logarithmic type utilities; optimal portfolio; random regime switching; regime switching; volatility rates; Biological system modeling; Computational modeling; Equations; Markov processes; Mathematical model; Portfolios; Switches; Regime Switching; Utility; forward-backward stochastic differential equations; portfolio selection;
Conference_Titel :
Information Science and Management Engineering (ISME), 2010 International Conference of
Conference_Location :
Xi´an
Print_ISBN :
978-1-4244-7669-5
Electronic_ISBN :
978-1-4244-7670-1
DOI :
10.1109/ISME.2010.140
