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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Neykova, D.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Quantitative Finance
Year:
2017
Journal volume:
17
Journal issue:
11
Pages contribution:
1715-1733
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1080/14697688.2017.1302600
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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