Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Risk-sensitive portfolio optimization; Two-dimensional factor; Memory effect; CPPI; Exponential of linear-quadratic-gaussian control; Algebraic/differential Riccati equation;
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- W. H. Fleming & S. J. Sheu, 2000. "Risk-Sensitive Control and an Optimal Investment Model," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 197-213.
- Mark Davis & SEBastien Lleo, 2008. "Risk-sensitive benchmarked asset management," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 415-426.
- Hiroaki Hata & Yasunari Iida, 2006. "A risk-sensitive stochastic control approach to an optimal investment problem with partial information," Finance and Stochastics, Springer, vol. 10(3), pages 395-426, September.
- Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
- Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu, 2010. "Asymptotics of the probability minimizing a "down-side" risk," Papers 1001.2131, arXiv.org.
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