OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS

被引：1

作者：

Ye, C. ^{[1
]}

Liu, R. H. ^{[1
]}

Ren, D. ^{[1
]}

机构：

[1] Univ Dayton, Dept Math, 300 Coll Pk, Dayton, OH 45469 USA

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2018年 / 21卷 / 05期

关键词：

Optimal asset allocation; portfolio optimization; stochastic control; regime-switching models; stochastic interest rate; power utility;

D O I：

10.1142/S0219024918500322

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper focuses on optimal asset allocation with stochastic interest rates in regime-switching models. A class of stochastic optimal control problems with Markovian regime-switching is formulated for which a verification theorem is provided. The theory is applied to solve two portfolio optimization problems (a portfolio of stock and savings account and a portfolio of mixed stock, bond and savings account) while a regime-switching Vasicek model is assumed for the interest rate. Closed-form solutions are obtained for a regime-switching power utility function. Numerical results are provided to illustrate the impact of regime-switching on the optimal investment decisions.

引用

页数：32

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