Statistical Methods in Finance 2016

Dec 18 - 22, 2016


Risk sensitive portfolio optimization in a jump diffusion model with regimes

by Anindya Goswami

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.