, Volume 60, Issue 2, pp 275-296

Portfolio Optimization in a Semi-Markov Modulated Market

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access

Abstract

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

This work was supported in part by a DST project: SR/S4/MS: 379/06; also supported in part by a grant from UGC via DSA-SAP Phase IV, and in part by a CSIR Fellowship.