Risk-sensitive benchmarked asset management
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Publication:3518381
DOI10.1080/14697680701401042zbMath1140.91383OpenAlexW2152557891MaRDI QIDQ3518381
Sébastien Lleo, Mark H. A. Davis
Publication date: 7 August 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701401042
dynamic programmingKelly criterionbenchmarkrisk-sensitive stochastic controlasset managementoutperformance
Related Items (24)
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Optimal asset allocation for outperforming a stochastic benchmark target ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Statistical arbitrage for multiple co-integrated stocks ⋮ TRADING MULTIPLE MEAN REVERSION ⋮ Long Time Asymptotics for Optimal Investment ⋮ Benchmark-based evaluation of portfolio performance: a characterization ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION ⋮ Downside risk minimization via a large deviations approach ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ Asymptotics of the probability of minimizing ‘down-side’ risk under partial information ⋮ A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications ⋮ Long-term optimal portfolios with floor ⋮ Asymptotics of the probability minimizing a ``down-side risk ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ Risk-sensitive portfolio optimization with two-factor having a memory effect ⋮ On long term investment optimality ⋮ Risk-sensitive control for a class of diffusions with jumps
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Capital growth with security
- Risk-sensitive dynamic asset management
- A large deviations approach to optimal long term investment
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Optimal Sure Portfolio Plans
- Risk-Sensitive ICAPM With Application to Fixed-Income Management
- The numeraire portfolio for unbounded semimartingale
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