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Titel:

HARA Utility Maximization in a Markov-Switching Bond-Stock Market

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Neykova, D.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Quantitative Finance
Jahr:
2017
Band / Volume:
17
Heft / Issue:
11
Seitenangaben Beitrag:
1715-1733
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1080/14697688.2017.1302600
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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