Title :
Risk-sensitive portfolio optimization with completely and partially observed factors
Author :
Stettner, Lukasz
Author_Institution :
Inst. of Math., Polish Acad. of Sci., Warsaw, Poland
fDate :
3/1/2004 12:00:00 AM
Abstract :
In this note, optimal portfolio maximizing the long run risk-sensitized growth rate of the capital process in the case when the dynamics of the asset prices depend on some economical factors, which are completely or partially observed, using a discounted cost approach is shown.
Keywords :
investment; observability; observers; optimisation; risk management; asset prices; capital process; discounted cost approach; economical factors; observed factors; risk-sensitive portfolio optimization; risk-sensitized growth rate; Finance; Investments; Performance analysis; Portfolios; Software performance; Stochastic processes; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2004.824476
