Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

Economy – Quantitative Finance – Portfolio Management

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-differential equation (PIDE). By combining viscosity solutions with a change of notation, a policy improvement argument and classical results on parabolic PDEs we prove that the HJB PIDE admits a unique smooth solution. A verification theorem concludes the resolution of this problem.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-709047

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.