Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
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DOI：
10.1007/s13160-017-0242-3
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发表时间：
2017-03
影响因子：
0.9
通讯作者：
H. Hata
中科院分区：
文献类型：
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作者：
H. Hata
我们考虑有限和无限时间范围内的风险敏感资产管理。特别是，我们对待寻求风险的情况。资产的收益率和波动率是随机的，并受一些经济因素的影响，被建模为扩散过程。这些问题变成了标准的风险敏感控制问题。我们推导了Hamilton-Jacobi-Bellman方程并研究了这些解。利用解，我们构造最优策略和最优值。此外，我们还通过与无限时域问题的对偶关系，解决了一个上大偏差概率最大化问题。
We consider risk-sensitive asset management on both finite and infinite time horizons. In particular, we treat the risk-seeking case. The returns and volatilities of the assets are random and affected by some economic factors, modeled as a diffusion process. The problems become standard risk-sensitive control problems. We derive the Hamilton–Jacobi–Bellman equations and study these solutions. Using solutions, we construct optimal strategies and optimal values. Moreover, we solve an upside large deviations probability maximization problem by conducting the duality relation with the infinite time horizon problem.