Risk-sensitive portfolio optimization problem for a large trader with inside information
Risk-sensitive portfolio optimization problem for a large trader with inside information
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DOI：
10.1007/s13160-018-0318-8
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发表时间：
2018-07
影响因子：
0.9
通讯作者：
H. Hata
中科院分区：
文献类型：
--
作者：
H. Hata
我们考虑一个金融模型，它捕捉了一个大交易员和一个内幕交易者的特征。这个交易者对价格的动态有一定的影响。而且，内部人的信息是最终价格加上一个模糊的噪音，随着最后时间的临近而消失。在这样的设置，我们试图获得一个有限时间范围内的风险敏感的投资组合优化问题的显式解决方案。
We consider a financial model that captures the characteristics of a large trader and an insider. This trader has some influence on the dynamics of prices. Moreover, the information of the insider is the final price plus a blurring noise that disappears as the final time approaches. In such a setting, we try to obtain the explicit solution of a risk-sensitive portfolio optimization problem with a finite time horizon.