Risk-sensitive asset management in a general diffusion factor model: risk-seeking case

DOI10.1007/s13160-017-0242-3zbMath1366.93702OpenAlexW2593280697MaRDI QIDQ2364352

Hiroaki Hata

Publication date: 19 July 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0242-3

zbMATH Keywords

HJB equationrisk-sensitive controlasset managementstochastic factor model

Mathematics Subject Classification ID

Related Items (3)

Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ On the parabolic equation for portfolio problems

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