Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps

Hiroaki Hata () and Jun Sekine ()
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Hiroaki Hata: Shizuoka University
Jun Sekine: Osaka University

Asia-Pacific Financial Markets, 2017, vol. 24, issue 3, No 4, 252 pages

Abstract: Abstract Risk-sensitive asset management problems, both those with a finite horizon and those with an infinite horizon, are studied in a financial market model that has a Wishart autoregressive-type jump-diffusion factor, which is a positive-definite symmetric matrix-valued process. The model describes the stochasticity of the market covariance structure, the interest rates, and the risk-premium of the risky assets. We obtain explicit representations of the solutions to the problems.

Keywords: Risk-sensitive asset management; Wishart autoregressive jump-diffusion factor; Riccati differential equation; 91G80; 91G10; 93E20 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10690-017-9231-4

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