DocumentCode
1743479
Title
Risk-sensitive portfolio optimization with partial information
Author
Nagai, H.
Author_Institution
Dept. of Math. Sci., Osaka Univ., Japan
Volume
2
fYear
2000
fDate
2000
Firstpage
1206
Abstract
There have been several works applying the idea of risk-sensitive control to problems of mathematical finance. In particular, Bielecli and Pliska (1999), which treats risk-sensitive asset management by taking up a factor model, motivates the present paper and we introduce formulation of the factor model and expose the relationships between theirs and the present one
Keywords
Brownian motion; differential equations; investment; stochastic processes; factor model; mathematical finance; partial information; risk-sensitive asset management; risk-sensitive control; risk-sensitive portfolio optimization; Asset management; Control systems; Differential equations; Investments; Optimal control; Performance analysis; Portfolios; Security; Stochastic processes; Stochastic resonance;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location
Sydney, NSW
ISSN
0191-2216
Print_ISBN
0-7803-6638-7
Type
conf
DOI
10.1109/CDC.2000.912019
Filename
912019
Link To Document