• DocumentCode
    924304
  • Title

    Risk-sensitive portfolio optimization with completely and partially observed factors

  • Author

    Stettner, Lukasz

  • Author_Institution
    Inst. of Math., Polish Acad. of Sci., Warsaw, Poland
  • Volume
    49
  • Issue
    3
  • fYear
    2004
  • fDate
    3/1/2004 12:00:00 AM
  • Firstpage
    457
  • Lastpage
    464
  • Abstract
    In this note, optimal portfolio maximizing the long run risk-sensitized growth rate of the capital process in the case when the dynamics of the asset prices depend on some economical factors, which are completely or partially observed, using a discounted cost approach is shown.
  • Keywords
    investment; observability; observers; optimisation; risk management; asset prices; capital process; discounted cost approach; economical factors; observed factors; risk-sensitive portfolio optimization; risk-sensitized growth rate; Finance; Investments; Performance analysis; Portfolios; Software performance; Stochastic processes; Uncertainty;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2004.824476
  • Filename
    1273645
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=924304