Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Neykova, D.; Zagst, R. 
Titel:
HARA Utility Maximization in a Markov-Switching Bond-Stock Market 
Abstract:
We present a flexible multidimensional bond–stock model incorporating regime switching, a stochastic short rate and further stochastic factors, such as stochastic asset covariance. In this framework we consider an investor whose risk preferences are characterized by the hyperbolic absolute risk-aversion utility function and solve the problem of optimizing the expected utility from her terminal wealth. For the optimal portfolio we obtain a constant-proportion portfolio insurance-type strategy wit...    »
 
Zeitschriftentitel:
Quantitative Finance 
Jahr:
2017 
Band / Volume:
17 
Heft / Issue:
11 
Seitenangaben Beitrag:
1715-1733 
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text