We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual excitation effect. The mutual excitation feature of the Hawkes process captures the contagion risk in the sense that each price jump of an asset increases the likelihood of future jumps not only in the same asset but also in other assets. We apply the stochastic maximum principle, backward stochastic differential equation theory, and linear-quadratic control technique to solve the problem and obtain the efficient strategy and efficient frontier in semi-closed form, subject to a non-local partial differential equation. Numerical examples are provided to illustrate our results.
© 2015 All Rights Reserved. 粤ICP备14051456号
地址：广东省深圳市南山区学苑大道1088号 电话：+86-755-8801 0000 邮编：518055