A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Finance and Stochastics

Volumn 10, Issue 3, 2006, Pages 395-426

  Hata, Hiroaki ^a   Iida, Yasunari ^b  

^a OSAKA UNIVERSITY   (Japan)

^b Daido Life Insurance Company   (Japan)

Author keywords

Infinite time horizon; Large deviations; Optimal investment; Partial information; Riccati equations; Risk sensitive control

Indexed keywords

EID: 33747892041     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0010-8     Document Type: Review

References (19)

1. Bensoussan, A.: Stochastic Control of Partially Observable Systems. Cambridge University Press, Cambridge (1992)
2. Bielecki, T.R., Pliska, S.R.: Risk sensitive dynamic asset management. J. Appl. Math. Optim. 39, 337-360 (1999)
3. Bielecki, T.R., Pliska, S.R.: Risk sensitive intertemporal CAPM, with application to fixed-income management. IEEE Trans. Automat. Control (special issue on Stochastic Control Methods in Financial Engineering) 49, 420-432 (2004)
4. Bucy, R.S., Joseph, P.D.: Filtering for Stochastic Processes with Applications to Guidance. Chelsea, New York (1987)
5. Dembo, A., Zeitouni, O.: Large Deviations Techniques and Applications, 2nd Edn. Springer, Berlin Heidelberg New York (1998)
6. Fleming, W.H., Rishel, R.W.: Deterministic and Stochastic Optimal Control. Springer, Berlin Heidelberg New York (1975)
7. Fleming, W.H., Sheu, S.J.: Optimal long term growth rate of expected utility of wealth. Ann. Appl. Probab. 9, 871-903 (1999)
8. Fleming, W.H., Sheu, S.J.: Risk-sensitive control and an optimal investment model. Math. Financ. 10, 197-213 (2000)
9. Fleming, W.H., Sheu, S.J.: Risk-sensitive control and an optimal investment model. II. Ann. Appl. Probab. 12, 730-767 (2002)
10. Hall, P., Heyde, C.: Martingale Limit Theory and its Application. Academic, New York (1980)
11. Hata, H., lida, Y.: Appendix to: A risk-sensitive stochastic control approach to an optimal investment problem with partial information (2006), http://dx.doi.org/DOI 10.1007/s00780-006-0010-8
12. Kuroda, K., Nagai, H.: Risk sensitive portfolio optimization on an infinite time horizon. Stoch. Stoch Rep. 73, 309-331 (2002)
13. Nagai, H.: Bellman equations of risk-sensitive control. SIAM J. Control Optim. 34, 74-101. (1996)
14. Nagai, H.: Risk-sensitive dynamic asset management with partial information. In: Hida, T., Karandikar, R.L., Kunita, H., Rajput, B.S., Watanabe, S., Xiong, J. (eds.) Stochastics in Finite and Infinite Dimension. A Volume in Honor of Gopinath Kallianpur, pp 321-340 (2000)
15. Nagai, H.: Risk-sensitive portfolio optimization with full and partial information. Stochastic Analysis and Related Topics in Kyoto. Adv. Stud. Pure Math. 41, 257-278 (2004), Mathematical Society Japan, Tokyo
16. Nagai, H., Peng, S.: Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. Ann. Appl. Probab. 12, 173-195 (2002)
17. Pham, H.: A risk-sensitive control dual approach to a large deviations control problem. Syst. Control Lett. 49, 295-309 (2003)
18. Pham, H.: A large deviations approach to optimal long term investment. Financ. Stoch. 7, 169-195 (2003)
19. Whittle, P.: Risk Sensitive Optimal Control. Wiley, New York (1990)