Downside risk minimization via a large deviations approach

DOI10.1214/11-AAP781zbMath1242.91223arXiv1205.0672MaRDI QIDQ417076

Hideo Nagai

Publication date: 13 May 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0672

zbMATH Keywords

large deviation; long-term investment; H-J-B equation of ergodic type; risk-sensitive stochastic control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

35J50: Variational methods for elliptic systems

60F10: Large deviations

91G80: Financial applications of other theories

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Large time asymptotic problems for optimal stochastic control with superlinear cost

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• A risk-sensitive stochastic control approach to an optimal investment problem with partial information
• Risk-sensitive dynamic asset management
• Some results on risk-sensitive control with full observation
• Portfolio choice with endogenous utility: a large deviations approach.
• A large deviations approach to optimal long term investment
• Optimal long term growth rate of expected utility of wealth
• Risk-sensitive control and an optimal investment model. II.
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Asymptotics of the probability minimizing a ``down-side risk
• A risk-sensitive control dual approach to a large deviations control problem
• Linear and quasilinear elliptic equations
• Risk-Sensitive Control and an Optimal Investment Model
• Asymptotics of the probability of minimizing ‘down-side’ risk under partial information
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• Risk-sensitive benchmarked asset management
• On the principal eigenvalue of second-order elliptic differential operators
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Risk-sensitive portfolio optimization on infinite time horizon
• Bellman Equations of Risk-Sensitive Control