Title :
Risk-sensitive portfolio optimization with partial information
Author_Institution :
Dept. of Math. Sci., Osaka Univ., Japan
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;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2000.912019
