Application of stochastic maximum principle. Risk-sensitive regime switching in asset management.

Applied and Computational Mathematics Seminar
Monday, July 2, 2018 - 1:55am for 1.5 hours (actually 80 minutes)
Skiles 005
Isabelle Kemajou-Brown – Morgan State University –
Luca Dieci
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.