Risk-sensitive portfolio optimization problems with general nonnegative factor models

MaRDI QIDQ1002378zbMATH OpenFDO

Authors Mayank Goel, K. Suresh Kumar

Publication date 26 February 2009

Published in Differential Equations and Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

risk-sensitive portfolio optimizationoptimal investment strategiesportfolio optimization problem with stochastic interest rate

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(14)

• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Decision on nonnegative investment proportional coefficient of portfolio for risk minimization
• Risk-sensitive portfolio optimization on infinite time horizon
• scientific article; zbMATH DE number 2131683 (Why is no real title available?)
• scientific article; zbMATH DE number 2133127 (Why is no real title available?)
• scientific article; zbMATH DE number 2015381 (Why is no real title available?)
• Risk-sensitive portfolio optimization problems with fixed income securities
• Remarks on risk neutral and risk sensitive portfolio optimization
• OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
• Optimal portfolio for a highly risk-averse investor: a differential game interpretation
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon
• Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
• Discrete time portfolio managing

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