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Optimization Problem for Multinational Assets in a General Jump Model

Author: GongLiLi
Tutor: XiongDeWen
School: Shanghai Jiaotong University
Course: Probability Theory and Mathematical Statistics
Keywords: Minimal entropy martingale measure Exponential utility function The principle of optimal Jump process Backward Stochastic Differential Equations Cross-market portfolio
CLC: F224;F830.91
Type: Master's thesis
Year: 2011
Downloads: 44
Quote: 0
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Abstract


In this paper , we consider the market by a stock and a foreign exchange two risky assets , interdependencies between the Brownian motion drive both risk assets , there \We consider the utility function is U ( X ) = exp { ? The optimal utility issues k0x } and optimal investment strategy . Kohlmann and Xiong ( 2007 ) [ 1 ] is similar to the use of dynamic programming gives a backward semi - martingale equation ( BME ) and apply the solution of the equation to characterize the minimal entropy martingale measure . The use of the backward semi - martingale equation , we give the the investors optimal effectiveness and optimal portfolio Kohlmann and Xiong ( 2007 ) , and then extended to the two-dimensional case . When the parameter is a constant determined , we give the explicit solution of the backward semi - martingale equation , which gives the explicit solution of the optimal portfolio , this solution only depends on a set of deterministic equations , can use Newton iterative method .

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