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

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

2011-02-24

arxiv.org/abs/1102.5126v1

Economy

Quantitative Finance

Portfolio Management

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.

Affiliated with

Also associated with

No associations

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

Comments { 0 }

Profile ID: LFWR-SCP-O-709047