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Aspects and Applications of the Wilkie Investment Model

  • The Wilkie model is a stochastic asset model, developed by A.D. Wilkie in 1984 with a purpose to explore the behaviour of investment factors of insurers within the United Kingdom. Even so, there is still no analysis that studies the Wilkie model in a portfolio optimization framework thus far. Originally, the Wilkie model is considering a discrete-time horizon and we apply the concept of Wilkie model to develop a suitable ARIMA model for Malaysian data by using Box-Jenkins methodology. We obtained the estimated parameters for each sub model within the Wilkie model that suits the case of Malaysia, and permits us to analyse the result based on statistics and economics view. We then tend to review the continuous time case which was initially introduced by Terence Chan in 1998. The continuous-time Wilkie model inspired is then being employed to develop the wealth equation of a portfolio that consists of a bond and a stock. We are interested in building portfolios based on three well-known trading strategies, a self-financing strategy, a constant growth optimal strategy as well as a buy-and-hold strategy. In dealing with the portfolio optimization problems, we use the stochastic control technique consisting of the maximization problem itself, the Hamilton-Jacobi-equation, the solution to the Hamilton-Jacobi-equation and finally the verification theorem. In finding the optimal portfolio, we obtained the specific solution of the Hamilton-Jacobi-equation and proved the solution via the verification theorem. For a simple buy-and-hold strategy, we use the mean-variance analysis to solve the portfolio optimization problem.

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Author:Norizarina Ishak
URN (permanent link):urn:nbn:de:hbz:386-kluedo-41373
Advisor:Ralf Korn
Document Type:Doctoral Thesis
Language of publication:English
Publication Date:2015/07/30
Year of Publication:2015
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2015/07/30
Date of the Publication (Server):2015/08/11
Number of page:VI, 108
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vom 30.07.2015