Downside risk minimization via a large deviations approach

DOI10.1214/11-AAP781zbMath1242.91223arXiv1205.0672MaRDI QIDQ417076

Hideo Nagai

Publication date: 13 May 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0672

zbMATH Keywords

large deviation; long-term investment; H-J-B equation of ergodic type; risk-sensitive stochastic control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

35J50: Variational methods for elliptic systems

60F10: Large deviations

91G80: Financial applications of other theories

91B26: Auctions, bargaining, bidding and selling, and other market models

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