portfolio optimization

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.
Monday, June 11, 2018 - 11:00am - 11:30am
Tao Pang (North Carolina State University)
In the real world, the historical performance of a stock may have impacts on its dynamics and this suggests us to consider models with delays. We consider some portfolio optimization problem of Merton’s type in which the risky asset is described by some stochastic delay models. By virtue of the dynamic programming principle, we derive the Hamilton-Jacobi-Bellman (HJB) equations, which turn out to be nonlinear degenerate partial differential equations.
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