scholarly journals A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution

Risks ◽  
2018 ◽  
Vol 6 (1) ◽  
pp. 19 ◽  
Author(s):  
Zinoviy Landsman ◽  
Udi Makov ◽  
Tomer Shushi
Keyword(s):  
Portfolio Selection ◽  
Explicit Solution ◽  
Optimal Portfolio ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Optimal Portfolio Selection

scholarly journals Optimal Portfolio Selection in an Itô–Markov Additive Market

Risks ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 34 ◽  
Author(s):  
Zbigniew Palmowski ◽  
Łukasz Stettner ◽  
Anna Sulima
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Selection Problem ◽  
Financial Assets ◽  
Markovian Jump ◽  
Power Utility ◽  
Portfolio Selection Problem ◽  
Switching Models ◽  
Optimal Portfolio Selection

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion risk and the regime switching risk. For this reason, the market is incomplete. We complete the market by enlarging it with the use of a set of Markovian jump securities, Markovian power-jump securities and impulse regime switching securities. Moreover, we give conditions under which the market is asymptotic-arbitrage-free. We solve the portfolio selection problem in the Itô–Markov additive market for the power utility and the logarithmic utility.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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