Risk-sensitive portfolio optimization with two-factor having a memory effect

DOI10.1007/s10690-010-9136-yzbMath1233.91245OpenAlexW2034127291MaRDI QIDQ763414

Jun Sekine, Tadashi Hayashi

Publication date: 9 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10690-010-9136-y

zbMATH Keywords

CPPImemory effectalgebraic/differential Riccati equationexponential of linear-quadratic-Gaussian controlrisk-sensitive portfolio optimizationtwo-dimensional factor

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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