Markov decision process algorithms for wealth allocation problems with defaultable bonds
This paper is concerned with analysing optimal wealth allocation techniques within a defaultable financial market similar to Bielecki and Jang (2007). It studies a portfolio optimization problem combining a continuous-time jump market and a defaultable security; and presents numerical solutions thro...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Applied Probability Trust
2016
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| Online Access: | https://eprints.nottingham.ac.uk/31020/ |
| _version_ | 1848794111063097344 |
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| author | Pérez López, Iker Hodge, David Le, Huiling |
| author_facet | Pérez López, Iker Hodge, David Le, Huiling |
| author_sort | Pérez López, Iker |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper is concerned with analysing optimal wealth allocation techniques within a defaultable financial market similar to Bielecki and Jang (2007). It studies a portfolio optimization problem combining a continuous-time jump market and a defaultable security; and presents numerical solutions through the conversion into a Markov decision process and characterization of its value function as a unique fixed point to a contracting operator. This work analyses allocation strategies under several families of utilities functions, and highlights significant portfolio selection differences with previously reported results. |
| first_indexed | 2025-11-14T19:10:59Z |
| format | Article |
| id | nottingham-31020 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:10:59Z |
| publishDate | 2016 |
| publisher | Applied Probability Trust |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-310202017-10-16T17:02:35Z https://eprints.nottingham.ac.uk/31020/ Markov decision process algorithms for wealth allocation problems with defaultable bonds Pérez López, Iker Hodge, David Le, Huiling This paper is concerned with analysing optimal wealth allocation techniques within a defaultable financial market similar to Bielecki and Jang (2007). It studies a portfolio optimization problem combining a continuous-time jump market and a defaultable security; and presents numerical solutions through the conversion into a Markov decision process and characterization of its value function as a unique fixed point to a contracting operator. This work analyses allocation strategies under several families of utilities functions, and highlights significant portfolio selection differences with previously reported results. Applied Probability Trust 2016-06-10 Article NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/31020/8/template.%20Perez%20Markov.pdf Pérez López, Iker, Hodge, David and Le, Huiling (2016) Markov decision process algorithms for wealth allocation problems with defaultable bonds. Advances in Applied Probability, 48 (2). pp. 392-405. ISSN 1475-6064 Portfolio Optimization; Defaultable Bonds; Markov Decision Processes https://www.cambridge.org/core/journals/advances-in-applied-probability/article/div-classtitlemarkov-decision-process-algorithms-for-wealth-allocation-problems-with-defaultable-bondsdiv/8FEE0154696E0725DBDE8AEA7AA03838 doi:10.1017/apr.2016.6 doi:10.1017/apr.2016.6 |
| spellingShingle | Portfolio Optimization; Defaultable Bonds; Markov Decision Processes Pérez López, Iker Hodge, David Le, Huiling Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title | Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title_full | Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title_fullStr | Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title_full_unstemmed | Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title_short | Markov decision process algorithms for wealth allocation problems with defaultable bonds |
| title_sort | markov decision process algorithms for wealth allocation problems with defaultable bonds |
| topic | Portfolio Optimization; Defaultable Bonds; Markov Decision Processes |
| url | https://eprints.nottingham.ac.uk/31020/ https://eprints.nottingham.ac.uk/31020/ https://eprints.nottingham.ac.uk/31020/ |