Application of stochastic maximum principle. Risk-sensitive regime switching in asset management.
- Series
- Applied and Computational Mathematics Seminar
- Time
- Monday, July 2, 2018 - 01:55 for 1.5 hours (actually 80 minutes)
- Location
- Skiles 005
- Speaker
- Isabelle Kemajou-Brown – Morgan State University – elisabeth.brown@morgan.edu
We assume the stock is modeled by a Markov regime-switching diffusion process
and that, the benchmark depends on the economic factor. Then, we solve a
risk-sensitive benchmarked asset management problem of a firm. Our method
consists of finding the portfolio strategy that minimizes the risk sensitivity
of an investor in such environment, using the general maximum principle.After the above presentation, the speaker will discuss some of her ongoing research.