A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

Details A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

2007-11-17

arxiv.org/abs/0711.2718v1

Economy

Quantitative Finance

Portfolio Management

17 pages

Scientific paper

We discuss a class of risk-sensitive portfolio optimization problems. We
consider the portfolio optimization model investigated by Nagai in 2003. The
model by its nature can include fixed income securities as well in the
portfolio. Under fairly general conditions, we prove the existence of optimal
portfolio in both finite and infinite horizon problems.

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