User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Neykova, D.; Zagst, R. 
Title:
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...    »
 
Journal title:
Quantitative Finance 
Year:
2017 
Journal volume:
17 
Journal issue:
11 
Pages contribution:
1715-1733 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
versions