Ghosh, Mrinal K and Goswami, Anindya and Kumar, Suresh K (2009) Portfolio Optimization in a Semi-Markov Modulated Market. In: Applied Mathematics and Optimization, 60 (2). pp. 275-296.
fulltext.pdf - Published Version
Restricted to Registered users only
Download (477Kb) | Request a copy
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.
|Item Type:||Journal Article|
|Additional Information:||Copyright of this article belongs to Springer.|
|Keywords:||Risk-sensitive control;Semi-Markov process;Fixed income securities;Nonnegative factors|
|Department/Centre:||Division of Physical & Mathematical Sciences > Mathematics|
|Date Deposited:||31 Dec 2009 06:46|
|Last Modified:||19 Sep 2010 05:39|
Actions (login required)