Long run risk sensitive portfolio with general factors

Marcin Pitera and {\L}ukasz Stettner

Papers from arXiv.org

Abstract: In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optimal strategy is presented and examples of market models satisfying imposed assumptions are shown.

Date: 2015-08
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