Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect

被引：0
作者：
Hayashi T. [1 ]
Sekine J. [2 ]
机构：
[1] Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Yoshida-Honmachi, Sakyo-ku
[2] Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Osaka 560-8501, 1-3, Machikaneyama-cho, Toyonaka
来源：
Asia-Pacific Financial Markets | 2011年 / 18卷 / 4期
关键词：
Algebraic/differential Riccati equation; CPPI; Exponential of linear-quadratic-gaussian control; Memory effect; Risk-sensitive portfolio optimization; Two-dimensional factor;
D O I：
10.1007/s10690-010-9136-y
中图分类号：
学科分类号：
摘要：
Risk-sensitive portfolio optimization problems are studied with a specific setting: a market model with a two-dimensional linear-factor is considered, where the factor consisits of an Ornshtein-Uhlenbeck process and its historic weighted-average. A sharp solvability condition is obtained in risk-seeking case. Further, an application of CPPI technique is mentioned to treat a problem with floor-constraint. © 2010 Springer Science+Business Media, LLC.
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收藏
页码：385 / 403
页数：18
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