Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.

DOI10.1214/aoap/1015961160zbMath1042.91048MaRDI QIDQ1872428

Hideo Nagai, Shige Peng

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1015961160

zbMATH Keywords

partial differential equation; factor model; optimal investment problem; Ito calculus; risk-sensitive stochastic control problem

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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