2015/03/01 by Emilio Barucci, EMILIO BARUCCI, Daniele Marazzina +1 · 11 citations
Economics, Econometrics and Finance · #Actuarial science #Asset (computer security) #Asset management #Business #Computer science #Computer security #Constant (computer programming) #Econometrics #Economics #Finance #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Microeconomics #Remuneration #Risk management #Stochastic processes and financial applications #Time horizon
paper · open access · doi:10.1142/s0219024915500090
published in International Journal of Theoretical and Applied Finance 18(02), 1550009 (World Scientific)
crossref issued 2015/03/01 · crossref published 2015/03/01 · crossref published-print 2015/03/01 · openalex publication_date 2015/03/01 · crossref created 2015/03/10 · crossref published-online 2015/03/29 · crossref deposited 2019/08/07 · openalex created_date 2025/10/10 · crossref indexed 2026/08/04 · openalex updated_date 2026/08/05
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.