Risk-sensitive portfolio optimization problems with fixed income securities

DOI10.1007/S10957-009-9546-ZMaRDI QIDQ1035912zbMATH OpenOpenAlexFDO

Authors J. Blot

Publication date 4 November 2009

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.2718

zbMATH Keywords

fixed income securitiesnonstationary optimal strategiesrisk-sensitive control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

Abstract: We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of optimal portfolio in both finite and infinite horizon problems.

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Cited in

(16)

• Portfolio optimization for assets with stochastic yields and stochastic volatility
• Generalised risk-sensitive control with full and partial state observation
• Risk-sensitive control for a class of nonlinear systems with multiplicative noise
• Selection of a fixed-income portfolio
• An optimization model for a portfolio of financial derived instruments with pledge limitations
• Indefinite risk-sensitive control
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• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• Risk-sensitive control with near monotone cost
• On approximate solution of the problem of formation of the fixed-income portfolio of securities
• Risk sensitive control of diffusions with small running cost
• Risk-sensitive benchmarked portfolio optimization under non-linear market dynamics

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