Risk-sensitive portfolio optimization problems with fixed income securities

DOI10.1007/s10957-009-9546-zzbMath1180.91262arXiv0711.2718MaRDI 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 control; fixed income securities; nonstationary optimal strategies

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

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

91G10: Portfolio theory