Portfolio Optimization in a Semi-Markov Modulated Market
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- Ghosh, M.K., Goswami, A. & Kumar, S.K. Appl Math Optim (2009) 60: 275. doi:10.1007/s00245-009-9074-0
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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.