Mathematical Sciences - Stochastic Analysis Common Seminar Series - "Optimal Asset Allocation with Vasicek Interest Rate in Regime-Switching Models" by Dan Ren (University of Dayton) - Stratton Hall 306

Tuesday, March 27, 2018
2:00 pm to 3:00 pm

Location:

Floor/Room #: 
306

Title: Optimal Asset Allocation with Vasicek Interest Rate in Regime-Switching Models

Abstract: This talk focuses on optimal asset allocation with stochastic interest rates in regime-switching models. A class of stochastic optimal control problems with Markovian regime-switching is formulated for which a verification theorem is provided. The theory is applied to solve two portfolio optimization problems (a portfolio of stock and savings account and a portfolio of mixed stock, bond and savings account) while a regime-switching Vasicek model is assumed for the interest rate. Closed-form solutions are obtained for a regime-switching power utility function. Numerical results are provided to illustrate the impact of regime-switching on the optimal investment decisions.

Dan Ren
University of Dayton

Tuesday, March 27, 2018

2:00PM-3:00PM

Stratton Hall 306