Risk-sensitive portfolio optimization with two-factor having a memory effect
DOI10.1007/S10690-010-9136-YzbMATH Open1233.91245OpenAlexW2034127291MaRDI QIDQ763414FDOQ763414
Authors: Tadashi Hayashi, Jun Sekine 
Publication date: 9 March 2012
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9136-y
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CPPImemory effectalgebraic/differential Riccati equationexponential of linear-quadratic-Gaussian controlrisk-sensitive portfolio optimizationtwo-dimensional factor
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)
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