Optimal asset allocation

Friday, June 15, 2018 - 9:00am - 9:30am
Ruihua Liu (University of Dayton)
In this talk we present some results on optimal asset allocation with stochastic interest rates in regime-switching models. A class of stochastic optimal control problems with Markovian regime-switching is formulated for which a verification theorem is provided. The theory is applied to solve two portfolio optimization problems (a portfolio of stock and savings account and a portfolio of mixed stock, bond and savings account) while a regime-switching Vasicek model is assumed for the interest rate.
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