Dissertation
Portfolio Optimization on Jump Diffusion
Doctor of Philosophy (PhD), Washington State University
01/2016
Handle:
https://hdl.handle.net/2376/12157
Abstract
Portfolio optimization problem is an important research topic in financial applications. In this research, we focus on a consumption process and a terminal wealth problem. A portfolio including a riskless asset, a zero coupon bond and a stock is presented. All assets are modeled by continuous time dynamic. Bond is modeled by a classical Vasicek’s model. A stock is modeled using Merton Jump diffusion (MJD) model. This work is new because an economic inflation rate and consumption price index (CPI) are taken into consideration to evaluate a real value of assets. A Hamilton-Jacobi-Bellman (HJB) equation that satisfies an optimal solution is derived. Then, the solution is proved to exist and to be unique under certain conditions. Finally, the solution is found by using numerical method.
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Details
- Title
- Portfolio Optimization on Jump Diffusion
- Creators
- Wanrudee Skulpakdee
- Contributors
- Hong-Ming Yin (Advisor)Haijun Li (Committee Member)Charles Moore (Committee Member)
- Awarding Institution
- Washington State University
- Academic Unit
- Mathematics and Statistics, Department of
- Theses and Dissertations
- Doctor of Philosophy (PhD), Washington State University
- Number of pages
- 105
- Identifiers
- 99900581833201842
- Language
- English
- Resource Type
- Dissertation