Risk sensitive portfolio optimization in a jump diffusion model with regimes
Dr. Anindya Goswamy
IISER Pune
| Speaker |
Dr. Anindya Goswamy
IISER Pune
|
|---|---|
| When |
Feb 03, 2017
from 04:00 PM to 05:00 PM |
| Where | LH 006 |
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A portfolio optimization problem without any consumption and transaction cost is studied, where the market consisting of several stocks is modeled by a multi-dimensional jump diffusion process with age-dependent semi-Markov modulated coefficients. For optimization, a risk sensitive criterion on the finite time horizon is considered. We establish existence and uniqueness of the classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation.