Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
From MaRDI portal
Publication:3074984
DOI10.1137/090760180zbMath1217.91168arXiv1001.1379OpenAlexW2162815262MaRDI QIDQ3074984
Sébastien Lleo, Mark H. A. Davis
Publication date: 10 February 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.1379
Lévy processesstochastic controlrisk-sensitive controljump-diffusion processespartial integro-differential equationpolicy improvementHamilton-Jacobi-Bellman partial differential equationlinear parabolic partial differential equation
Related Items (18)
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Optimal excess-of-loss reinsurance and investment with stochastic factor process ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Indefinite risk-sensitive control ⋮ Robust 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 ⋮ The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system ⋮ A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ Jump-diffusion asset-liability management via risk-sensitive control ⋮ On long term investment optimality ⋮ On the parabolic equation for portfolio problems ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
This page was built for publication: Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model