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• W2034451266 abstract "In this paper, we consider the optimal portfolio selection problem in continuous-time settings where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has the structure of the HARA family and the market states change according to a Markov process. The states of the market describe the prevailing economic, financial, social and other conditions that affect the deterministic and probabilistic parameters of the model. This includes the distributions of the random asset returns as well as the utility function. We analyzed Black–Scholes type continuous-time models where the market parameters are driven by Markov processes. The Markov process that affects the state of the market is independent of the underlying Brownian motion that drives the stock prices. The problem of maximizing the expected utility of the terminal wealth is investigated and solved by stochastic optimal control methods for exponential, logarithmic and power utility functions. We found explicit solutions for optimal policy and the associated value functions. We also constructed the optimal wealth process explicitly and discussed some of its properties. In particular, it is shown that the optimal policy provides linear frontiers." @default.
• W2034451266 created "2016-06-24" @default.
• W2034451266 creator A5023411181 @default.
• W2034451266 creator A5032006091 @default.
• W2034451266 date "2012-08-01" @default.
• W2034451266 modified "2023-10-16" @default.
• W2034451266 title "HARA frontiers of optimal portfolios in stochastic markets" @default.
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• W2034451266 doi "https://doi.org/10.1016/j.ejor.2011.10.012" @default.
• W2034451266 hasPublicationYear "2012" @default.
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