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Optimal Portfolio in a Continuous-time Self-Exciting Threshold Model

Meng, Hui, Yuen, Fei Lung, Siu, Tak Kuen, Yang, Hailiang (2013) Optimal Portfolio in a Continuous-time Self-Exciting Threshold Model. Journal of Industrial and Management Optimization, 9 (2). pp. 487-504. ISSN 1547-5816. (doi:10.3934/jimo.2013.9.487) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97122)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.3934/jimo.2013.9.487

Abstract

This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. This model provides a way to describe the effect of regime switching on price dynamics via the self-exciting threshold principle. Its main advantage is to incorporate the regime switching effect without introducing an additional source of uncertainty. A martingale approach is used to discuss the problem. Analytical solutions are derived in some special cases. Numerical examples are given to illustrate the regime-switching effect described by the proposed model.

Item Type: Article
DOI/Identification number: 10.3934/jimo.2013.9.487
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Kevin Yuen
Date Deposited: 28 Sep 2022 13:21 UTC
Last Modified: 29 Sep 2022 11:22 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/97122 (The current URI for this page, for reference purposes)

University of Kent Author Information

Yuen, Fei Lung.

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