Risk-sensitive portfolio optimization problems with fixed income securities

DOI10.1007/s10957-009-9546-zzbMath1180.91262arXiv0711.2718OpenAlexW2045623196MaRDI QIDQ1035912

J. Blot

Publication date: 4 November 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.2718

zbMATH Keywords

risk-sensitive controlfixed income securitiesnonstationary optimal strategies

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space ⋮ Risk-sensitive control with near monotone cost ⋮ Indefinite risk-sensitive control ⋮ Generalised risk-sensitive control with full and partial state observation ⋮ Risk-sensitive control for a class of nonlinear systems with multiplicative noise ⋮ Risk sensitive control of diffusions with small running cost ⋮ Optimal portfolio and consumption subject to multidimensional economic factors ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility

Cites Work

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