Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach

Details Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach

2010-03-12

arxiv.org/abs/1003.2521v1

in "Recent Advances in Financial Engineering 2009 - Proceedings of the KIER-TMU International Workshop on Financial Engineerin

Economy

Quantitative Finance

Portfolio Management

32 pages

Scientific paper

In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) In this setting, the Hamilton- Jacobi-Bellman equation is a partial integro-differential PDE. The main result of the paper is to show that the value function of the control problem is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation.

Affiliated with

Also associated with

No associations

Rating

Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach 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 Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-129027