Managing Against a Benchmark: Jump-Diffusion Case

Mark H. A. Davis and Sebastien Lleo

Chapter 10 in Risk-Sensitive Investment Management, 2014, pp 227-260 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionFinancial Market, Investment Portfolio and BenchmarkDynamic Programming and the Value FunctionExistence of a Classical (C1,2) Solution Under Affine Drift AssumptionsExistence of a Classical (C1,2) Solution Under Standard Control AssumptionsFund Separation Theorem

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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