Risk-sensitive control and an optimal investment model

被引：94

作者：

Fleming, WH

Sheu, SJ ^{[1
]}

机构：

[1] Acad Sinica, Inst Math, Taipei 11529, Taiwan

[2] Brown Univ, Providence, RI 02912 USA

来源：

MATHEMATICAL FINANCE | 2000年 / 10卷 / 02期

关键词：

risk-sensitive stochastic control; optimal investment model; long-term growth rate; dynamic programming equation; Riccati equation;

D O I：

10.1111/1467-9965.00089

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynamic programming equation associated with this central problem and derive some consequences of the investment problem.

引用

页码：197 / 213

页数：17

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