Risk-sensitive portfolio optimization problems with general nonnegative factor models

zbMath1159.93033MaRDI QIDQ1002378

K. Suresh Kumar, Mayank Goel

Publication date: 26 February 2009

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

risk-sensitive portfolio optimizationoptimal investment strategiesportfolio optimization problem with stochastic interest rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)