Expected power-utility maximization under incomplete information and with Cox-process observation
Expected power-utility maximization under incomplete information and with Cox-process observation
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不完整信息和 Cox 过程观察下的预期功率效用最大化
DOI：
10.1007/s00245-012-9180-2
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
H. Nagai
中科院分区：
文献类型：
--
作者：
Li;Zejian;H. Nagai
我们考虑的问题最大化的期望终端功率效用（风险敏感准则）。基础市场模型是一个状态转换扩散模型，其中的状态是由一个不可观测的因素过程形成一个有限状态马尔可夫过程。主要的新奇是由于这样一个事实，即价格的观察和投资组合的再平衡，只有在随机时间对应的一个考克斯过程的强度是由未观察到的马尔可夫因子过程以及驱动。这导致在许多实际情况下更现实的建模，如在流动性限制的市场中;另一方面，它使问题变得相当复杂，以至于传统方法无法直接应用。这里提出的方法是特定于电力公用事业。对于对数效用，Fujimoto等人（预印本，2012年）提出了一种不同的方法。
We consider the problem of maximization of expected terminal power utility (risk sensitive criterion). The underlying market model is a regime-switching diffusion model where the regime is determined by an unobservable factor process forming a finite state Markov process. The main novelty is due to the fact that prices are observed and the portfolio is rebalanced only at random times corresponding to a Cox process where the intensity is driven by the unobserved Markovian factor process as well. This leads to a more realistic modeling for many practical situations, like in markets with liquidity restrictions; on the other hand it considerably complicates the problem to the point that traditional methodologies cannot be directly applied. The approach presented here is specific to the power-utility. For log-utilities a different approach is presented in Fujimoto et al. (Preprint, 2012).