``Down-side risk probability minimization problem with Cox-Ingersoll-Ross's interest rates

DOI10.1007/S10690-010-9121-5zbMath1208.91134OpenAlexW2024435935MaRDI QIDQ633827

Hiroaki Hata

Publication date: 30 March 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9121-5

zbMATH Keywords

Bellman equationlong-term investmentrisk-sensitive stochastic controllarge deviations controlBessel process with linear driftCIR-interest rates

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (4)

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate ⋮ Risk-sensitive asset management with lognormal interest rates

Cites Work

• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• Differential games of inf-sup type and Isaacs equations
• A large deviations approach to optimal long term investment
• Asymptotics of the probability minimizing a ``down-side risk
• A Theory of the Term Structure of Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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