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Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities

DSpace at IIT Bombay

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Field Value
 
Title Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities
 
Creator GOEL, M
KUMAR, KS
 
Subject optimal investment model
management
risk-sensitive control
fixed income securities
nonstationary optimal strategies
 
Description We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (SIAM J. Control Optim. 41:1779-1800, 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 an optimal portfolio in both finite-horizon and infinite-horizon problems.
 
Publisher SPRINGER/PLENUM PUBLISHERS
 
Date 2011-08-30T14:39:43Z
2011-12-26T12:59:00Z
2011-12-27T05:49:49Z
2011-08-30T14:39:43Z
2011-12-26T12:59:00Z
2011-12-27T05:49:49Z
2009
 
Type Article
 
Identifier JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 142(1), 67-84
0022-3239
http://dx.doi.org/10.1007/s10957-009-9546-z
http://dspace.library.iitb.ac.in/xmlui/handle/10054/12355
http://hdl.handle.net/10054/12355
 
Language en