论文标题
预期的马尔可夫调制市场
An Anticipative Markov Modulated Market
论文作者
论文摘要
马尔可夫调制捕获了市场趋势，并相应地影响了市场系数。市场提出的不同方案被建模为离散时间马尔可夫链的不同状态。在我们的论文中，我们假设在一个市场中存在这种调制，并且作为一种新颖性，我们假设它可以在驱动风险资产动态的布朗运动的未来方面具有预期。通过采用这些自身的过滤技术，我们在整个市场和不完整的市场中都解决了最佳的投资组合效用问题。提出了许多预期的马尔可夫连锁店的例子，我们为此计算了具有更准确信息的投资者的额外收益。
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we assume the existence of such modulation in a market and, as a novelty, we assume that it can be anticipative with respect to the future of the Brownian motion that drives the dynamics of the risky asset. By employing these own techniques of enlargement of filtrations, we solve an optimal portfolio utility problem in both a complete and an incomplete market. Many examples of anticipative Markov chains are presented for which we compute the additional gain of the investor who has a more accurate information.
