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: | 05 Nov 2024 13:02 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/97122 (The current URI for this page, for reference purposes) |
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