Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model

Automatica ◽  
2016 ◽  
Vol 74 ◽  
pp. 194-205 ◽  
Author(s):  
Dong-Mei Zhu ◽  
Yue Xie ◽  
Wai-Ki Ching ◽  
Tak-Kuen Siu
Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimal Portfolios ◽  
Regime Switching Model ◽  
Switching Model ◽  
Maximum Value ◽  
Risk Constraint ◽  
Markovian Regime Switching ◽  
Markovian Regime

On mean-variance portfolio selection under a hidden Markovian regime-switching model

2010 ◽  
Vol 27 (3) ◽  
pp. 678-686 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu ◽  
Alex Badescu
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Mean Variance Portfolio ◽  
Markovian Regime Switching ◽  
Mean Variance ◽  
Markovian Regime

ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET

2012 ◽  
Vol 15 (08) ◽  
pp. 1250055 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
TAK KUEN SIU
Keyword(s):  
Regime Switching ◽  
Contingent Claims ◽  
Share Price ◽  
Regime Switching Model ◽  
Martingale Representation ◽  
Switching Model ◽  
Representation Result ◽  
Markovian Regime Switching ◽  
Coupon Bond ◽  
Markovian Regime

It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not all contingent claims can be perfectly hedged. We show, in this paper, how certain contingent claims are attainable in the regime-switching market using a money market account, a share and a zero-coupon bond. General contingent claims with payoffs depending on both the share price and the state of the regime-switching process are considered. We apply a martingale representation result to show the attainability of a European-style contingent claim. We also extend our analysis to Asian-style and American-style contingent claims.

Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model

2011 ◽  
Vol 18 (6) ◽  
pp. 473-490 ◽  
Author(s):  
Tak Kuen Siu ◽  
Eric S. Fung ◽  
Michael K. Ng
Keyword(s):  
Discrete Time ◽  
Regime Switching ◽  
Option Valuation ◽  
Regime Switching Model ◽  
Switching Model ◽  
Markovian Regime Switching ◽  
Markovian Regime

Optimal portfolios with regime switching and value-at-risk constraint

Automatica ◽  
2010 ◽  
Vol 46 (6) ◽  
pp. 979-989 ◽  
Author(s):  
Ka-Fai Cedric Yiu ◽  
Jingzhen Liu ◽  
Tak Kuen Siu ◽  
Wai-Ki Ching
Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimal Portfolios ◽  
Risk Constraint

Default Times in a Continuous-Time Markovian Regime Switching Model

2011 ◽  
Vol 29 (5) ◽  
pp. 824-837 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu
Keyword(s):  
Continuous Time ◽  
Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Markovian Regime Switching ◽  
Markovian Regime
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