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Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities

Author

Listed:
  • M. Goel

    (BA Continuum Solutions Pvt. Ltd.)

  • K. S. Kumar

    (Indian Institute of Technology Bombay)

Abstract

We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (SIAM J. Control Optim. 41:1779–1800, 2003). The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of an optimal portfolio in both finite-horizon and infinite-horizon problems.

Suggested Citation

  • M. Goel & K. S. Kumar, 2009. "Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities," Journal of Optimization Theory and Applications, Springer, vol. 142(1), pages 67-84, July.
    • Handle: RePEc:spr:joptap:v:142:y:2009:i:1:d:10.1007_s10957-009-9546-z
    DOI: 10.1007/s10957-009-9546-z
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    References listed on IDEAS

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    1. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    2. Ralf Korn, 1997. "Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3548.
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    Cited by:

    1. Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.

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