Apr 2013- Mar 2014
Math-Fi seminar on 6 Mar.
2014.03.02 Sun up
- Date : 6 Mar. (Thu)
- Place: W.W. 7th-floor, 4th lab.
- Time : 16:30 – 18:00
- Speaker: Kazufumi Fujimoto (Osaka University)
- Title: Expected utility maximization under incomplete information and with Cox-process observations
- Abstract: We consider the maximization problem of expected terminal utility. The underlying market model is a regime-switching diffusion model in which 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 in which intensity is further driven by the unobserved Markovian factor process. This leads to a more realistic modeling for several practical situations, as in markets with liquidity restrictions; on the other hand, it considerably complicates the problem to such a degree that traditional methodologies cannot be directly applied. Furthermore, we provide a numerical scheme for these problems to numerically compute the value functions.
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