Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps

DOI10.1007/s10690-017-9231-4zbMath1418.91474OpenAlexW2753539222MaRDI QIDQ1627817

Hiroaki Hata, Jun Sekine

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9231-4

zbMATH Keywords

Riccati differential equationrisk-sensitive asset managementWishart autoregressive jump-diffusion factor

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Continuous-time portfolio optimization for absolute return funds ⋮ Risk-sensitive asset management with lognormal interest rates

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