Author: Ka-Chun CheungPublisher:
ISBN: 9781361203781
Category :
Languages : en
Pages :
Book Description
This dissertation, "Optimal Asset Allocation Problems Under the Discrete-time Regime-switching Model" by Ka-chun, Cheung, 張家俊, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled OPTIMAL ASSET ALLOCATION PROBLEMS UNDER THE DISCRETE-TIME REGIME-SWITCHING MODEL submitted by Cheung, Ka Chun for the degree of Doctor of Philosophy at The University of Hong Kong in January 2005 Recently, academics and practitioners have started paying attention to using the Markov Regime-Switching process to model asset price dynamics. The Markov Regime-Switchingmodelcancapturetherealitythattheinvestmentenvironment is changing over time and hence is non-stationary. Another merit of the model is that it can provide a reasonable degree of analytical tractability. In this thesis, the optimal behavior of an investor in a Markov regime-switching environment will be examined. The thesis studies the optimal dynamic asset allocation strategy, the optimal consumption strategy in the presence of default risk, and the optimal surrender strategy of an equity-linked investment product. By employing the concept of stochastic dominance and assuming that the transition matrix is stochasticallymonotone, where both the concept and assumption have natural and appealing financial interpretations, it was shown that the optimal behavior of the investor is consistent with our intuition. As default risk is an important subject in mod- ern finance and actuarial science, this thesis also studies the optimal portfolio problem in which financial instruments are subject to dependent default risks. Sufficient condition to order the optimal allocations was obtained. The analy- sis demonstrates that in the optimal portfolio problem context, the dependency structure between the default risks is essential and cannot be ignored. DOI: 10.5353/th_b3131123 Subjects: Asset allocation - Mathematical models Markov processes