Risk-sensitive portfolio optimization on infinite time horizon

DOI10.1080/1045112021000025961zbMath1041.91036OpenAlexW2010317343MaRDI QIDQ4799385

Kazutaka Kuroda, Hideo Nagai

Publication date: 2002

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112021000025961

zbMATH Keywords

Riccati equationsBellman equationsPortfolio optimizationRisk-sensitive controlInfinite time horizonFactor model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Global stability of solutions to ordinary differential equations (34D23) Portfolio theory (91G10)

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