Affiliation:
1. Dipartimento di Matematica — Politecnico di Milano, Via Bonardi 9, I-20133 Milano, Italy
Abstract
We investigate asset management in a regime switching framework when the fund manager aims to beat a certain target for the assets under management over an infinite horizon or over a finite horizon. We consider both a full information and a partial information setting. In a full information setting, the asset manager tends to take more risk in the good state and less risk in the bad state with respect to the constant parameter environment. Confidence risk induces the agent to increase his risk exposure.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
7 articles.
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