Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
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References listed on IDEAS
- 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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More about this item
KeywordsRisk-sensitive portfolio optimization; Two-dimensional factor; Memory effect; CPPI; Exponential of linear-quadratic-gaussian control; Algebraic/differential Riccati equation;
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