Risk-Sensitive Asset Management with Lognormal Interest Rates

Hiroaki Hata ()
Additional contact information
Hiroaki Hata: Hitotsubashi University

Asia-Pacific Financial Markets, 2021, vol. 28, issue 2, No 2, 169-206

Abstract: Abstract Risk-sensitive asset management on both finite and infinite time horizons are treated on a market with a bank account and a risky stock. The risk-free interest rate is formulated as a geometric Brownian motion, and affects the return of the risky stock. The problems become standard risk-sensitive control problems. We derive the Hamilton–Jacobi–Bellman equations and study these solutions. Using solutions, we construct optimal strategies and optimal values.

Keywords: Asset management; Risk-sensitive control; Lognormal interest rates; HJB equation; 93E20; 49L20; 90C40; 60H30; 91G80 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-020-09312-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:28:y:2021:i:2:d:10.1007_s10690-020-09312-6

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-020-09312-6

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().