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Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps

Author

Listed:
  • Hiroaki Hata

    () (Shizuoka University)

  • Jun Sekine

    () (Osaka University)

Abstract

Abstract Risk-sensitive asset management problems, both those with a finite horizon and those with an infinite horizon, are studied in a financial market model that has a Wishart autoregressive-type jump-diffusion factor, which is a positive-definite symmetric matrix-valued process. The model describes the stochasticity of the market covariance structure, the interest rates, and the risk-premium of the risky assets. We obtain explicit representations of the solutions to the problems.

Suggested Citation

  • Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
  • Handle: RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4
    DOI: 10.1007/s10690-017-9231-4
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    References listed on IDEAS

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