Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect

Tadashi Hayashi and Jun Sekine ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 4, 385-403

Keywords: Risk-sensitive portfolio optimization; Two-dimensional factor; Memory effect; CPPI; Exponential of linear-quadratic-gaussian control; Algebraic/differential Riccati equation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9136-y

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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