Risk-based asset allocation under Markov-modulated pure jump processes

Hui Meng, Tak Kuen Siu

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the risk-based asset allocation problem as a zero-sum, two-person, stochastic differential game between the investor and the market. The HJB dynamic programming approach is used to discuss the game problem. A semi-analytical solution of the game problem is obtained in a particular case.

Original languageEnglish
Pages (from-to)191-206
Number of pages16
JournalStochastic Analysis and Applications
Volume32
Issue number2
DOIs
Publication statusPublished - Feb 2014

Keywords

  • Asset allocation
  • Convex risk measures
  • Pure jump processes
  • Regime switching
  • Stochastic differential games

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