Risk-sensitive portfolio optimization with two-factor having a memory effect

DOI10.1007/S10690-010-9136-YMaRDI QIDQ763414zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CPPImemory effectalgebraic/differential Riccati equationexponential of linear-quadratic-Gaussian controlrisk-sensitive portfolio optimizationtwo-dimensional factor

Mathematics Subject Classification ID

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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Cites work

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• Risk-sensitive benchmarked asset management
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• Risk-sensitive dynamic asset management
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Risk-sensitive portfolio optimization on infinite time horizon
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems

Cited in

(1)

• Remarks on risk neutral and risk sensitive portfolio optimization

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