Numerical method for optimal portfolio in an exponential utility regime-switching model

International Journal of Computer Mathematics ◽

10.1080/00207160.2018.1440289 ◽

2018 ◽

Vol 97 (1-2) ◽

pp. 120-140 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Exponential Utility ◽

Regime Switching Model ◽

Switching Model

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Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

Numerical Methods and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-030-10692-8_48 ◽

2019 ◽

pp. 424-432 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Two Dimensional ◽

Positivity Preserving ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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Optimal Portfolio in a Regime-switching Model

Seminar on Stochastic Analysis, Random Fields and Applications VII ◽

10.1007/978-3-0348-0545-2_22 ◽

2013 ◽

pp. 435-449 ◽

Author(s):

Adrian Roy L. Valdez ◽

Tiziano Vargiolu

Keyword(s):

Regime Switching ◽

Optimal Portfolio ◽

Regime Switching Model ◽

Switching Model

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Fitted finite volume method for indifference pricing in an exponential utility regime-switching model

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.112493 ◽

2019 ◽

pp. 112493

Author(s):

Tihomir B. Gyulov ◽

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Finite Volume Method ◽

Finite Volume ◽

Regime Switching ◽

Exponential Utility ◽

Indifference Pricing ◽

Regime Switching Model ◽

Switching Model ◽

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Numerical analysis of a finite difference scheme for optimal portfolio in a power utility regime-switching model

10.1063/5.0041973 ◽

2021 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Analysis ◽

Finite Difference ◽

Difference Scheme ◽

Regime Switching ◽

Finite Difference Scheme ◽

Optimal Portfolio ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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A numerical study for optimal portfolio regime-switching model I. 2D Black–Scholes equation with an exponential non-linear term

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.01.012 ◽

2017 ◽

Vol 318 ◽

pp. 538-549 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Regime Switching ◽

Numerical Study ◽

Optimal Portfolio ◽

Linear Term ◽

Regime Switching Model ◽

Switching Model ◽

Black Scholes ◽

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Optimal Portfolio Choice under Hidden Regime Switching Model

Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017) ◽

10.2991/wrarm-17.2017.43 ◽

2017 ◽

Author(s):

Zhiying Chen ◽

Xuanhua Peng ◽

Yongkui Li

Keyword(s):

Portfolio Choice ◽

Regime Switching ◽

Optimal Portfolio ◽

Regime Switching Model ◽

Switching Model

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Numerical approach to optimal portfolio in a power utility regime-switching model

10.1063/1.5013961 ◽

2017 ◽

Author(s):

Tihomir B. Gyulov ◽

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Regime Switching ◽

Numerical Approach ◽

Optimal Portfolio ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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A new efficient numerical method for solving American option under regime switching model

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2015.11.019 ◽

2016 ◽

Vol 71 (1) ◽

pp. 224-237 ◽

Author(s):

Vera N. Egorova ◽

Rafael Company ◽

Lucas Jódar

Keyword(s):

Numerical Method ◽

Regime Switching ◽

American Option ◽

Regime Switching Model ◽

Switching Model

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Robust Optimal Portfolio Choice Under Markovian Regime-switching Model

Methodology And Computing In Applied Probability ◽

10.1007/s11009-008-9085-3 ◽

2008 ◽

Vol 11 (2) ◽

pp. 145-157 ◽

Author(s):

Robert J. Elliott ◽

Tak Kuen Siu

Keyword(s):

Portfolio Choice ◽

Regime Switching ◽

Optimal Portfolio ◽

Regime Switching Model ◽

Switching Model ◽

Markovian Regime Switching ◽

Markovian Regime

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Stochastic Control in Optimal Portfolio with Regime Switching Model

2006 9th International Conference on Control, Automation, Robotics and Vision ◽

10.1109/icarcv.2006.345087 ◽

2006 ◽

Author(s):

Shuping Wan

Keyword(s):

Stochastic Control ◽

Regime Switching ◽

Optimal Portfolio ◽

Regime Switching Model ◽

Switching Model

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