Asset Pricing and Portfolio Optimization Under Regime Switching Models PDF Download

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Asset Pricing and Portfolio Optimization Under Regime Switching Models

Asset Pricing and Portfolio Optimization Under Regime Switching Models PDF Author: Yang Shen
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 157

Book Description
Regime-switching models are very useful to describe structural changes in macro-economic conditions, periodical fluctuations in business cycles and sudden transitions in market modes. In this these, a continuous-time, finite-state, observable Markov chain is adopted to model the regime switches. The first part of the thesis is devoted to asset pricing problems under regime-switching models. In the second part stochastic optimal control theory is applied to explore portfolio optimization problems under regime-switching models.
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