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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Verfasserangaben:Norizarina Ishak
URN (Permalink):urn:nbn:de:hbz:386-kluedo-41373
Betreuer:Ralf Korn
Sprache der Veröffentlichung:Englisch
Veröffentlichungsdatum (online):30.07.2015
Jahr der Veröffentlichung:2015
Veröffentlichende Institution:Technische Universität Kaiserslautern
Titel verleihende Institution:Technische Universität Kaiserslautern
Datum der Annahme der Abschlussarbeit:30.07.2015
Datum der Publikation (Server):11.08.2015
Seitenzahl:VI, 108
Fachbereiche / Organisatorische Einheiten:Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 510 Mathematik
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vom 30.07.2015