Optimal strategies for risk-sensitive portfolio optimization problems for general factor models

SIAM Journal on Control and Optimization

Volumn 41, Issue 6, 2003, Pages 1779-1800

  Nagai, Hideo ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

Bellman equations; Factor models; Infinite time horizon; Portfolio optimization; Risk sensitive control

Indexed keywords

MATHEMATICAL MODELS; NONLINEAR SYSTEMS; OPTIMIZATION; PROBLEM SOLVING; RISK ASSESSMENT; SET THEORY; SYSTEM STABILITY;

BELLMAN EQUATIONS; FACTOR MODELS; INFINITE TIME HORIZON; PORTFOLIO OPTIMIZATION; RISK-SENSITIVE CONTROL;

STOCHASTIC CONTROL SYSTEMS;

EID: 0348220625     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012901399337     Document Type: Article

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