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- W2019919794 abstract "We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM). The market parameters, including the bank interest rate and the appreciation and volatility rates of the risky assets, switch over time according to a continuous-time Markov chain. We formulate the nonzero-sum stochastic differential portfolio game problem as two utility maximization problems of the sum process between two investors’ terminal wealth. We derive a pair of regime switching Hamilton-Jacobi-Bellman (HJB) equations and two systems of coupled HJB equations at different regimes. We obtain explicit optimal portfolio strategies and Feynman-Kac representations of the two value functions. Furthermore, we solve the system of coupled HJB equations explicitly in a special case where there are only two states in the Markov chain. Finally we provide comparative statics and numerical simulation analysis of optimal portfolio strategies and investigate the impact of regime switching on optimal portfolio strategies." @default.
- W2019919794 created "2016-06-24" @default.
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- W2019919794 date "2015-01-01" @default.
- W2019919794 modified "2023-10-17" @default.
- W2019919794 title "Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model" @default.
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- W2019919794 doi "https://doi.org/10.1155/2015/738181" @default.
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