Title :
Risk Sensitive Optimal Portfolio Model under Jump Processes
Author_Institution :
Coll. of Inf. Technol., Jiangxi Univ. of Finance & Economic, Nanchang, China
Abstract :
Suppose that there is a single riskless bond and m risky securities in the financial market, where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors, and the prices of risky securities modeled by jump-diffusion processes. The risk sensitive optimal portfolio problem has been established. The necessary condition for the optimal trading strategies is obtained. The analytic solution for the reduction model is presented, and simulation results are given.
Keywords :
econometrics; financial management; optimisation; risk analysis; statistical analysis; economic factors; financial market; jump-diffusion processes; necessary condition; optimal trading; risk sensitive optimal portfolio model; Analytical models; Bonding; Costs; Economic indicators; Information security; Investments; Optimal control; Portfolios; Risk management; Wide area networks; Geometric Brownian motion; Jump-diffusion process; Optimal portfolio; Risk-sensitive stochastic control;
Conference_Titel :
Control Conference, 2006. CCC 2006. Chinese
Conference_Location :
Harbin
Print_ISBN :
7-81077-802-1
DOI :
10.1109/CHICC.2006.280664
