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Optimal portfolio for a highly risk-averse investor: A differential game interpretation - MaRDI portal

Optimal portfolio for a highly risk-averse investor: A differential game interpretation

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Publication:3119608

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DOI10.3233/RDA-2011-0059zbMath1409.91215MaRDI QIDQ3119608

Hidehiro Kaise, Jun Sekine

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

zbMATH Keywords

saddle point risk-sensitive portfolio optimization linear quadratic differential game asymptotically optimal strategy fund separation theorem hedging-demand-term large-risk-aversion small-factor-noise

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Portfolio theory (91G10)

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