화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.60, No.2, 275-296, 2009
Portfolio Optimization in a Semi-Markov Modulated Market
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.