Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints

Arunabha Bagchi and K. Suresh Kumar
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Arunabha Bagchi: Faculty of Mathematical Sciences University Twente, P.O. Box 217, 7500AE Enschede, The Netherlands
K. Suresh Kumar: Department of Mathematics, Indian Institute of Technology Bombay, Mumbai, India

Chapter 1 in Recent Developments in Mathematical Finance, 2001, pp 1-11 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe extend an important recent work on risk-sensitive dynamic asset allocation to include nonnegativity constraints on the economic factors in the model. This is done in two steps. We first convert the dynamic asset allocation problem into an equivalent stochastic differential game. We then impose nonnegativity constraints on the game problem. We solve this new problem using some recent general results on such constrained stochastic differential games.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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