Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities

M. Goel () and K. S. Kumar ()
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M. Goel: BA Continuum Solutions Pvt. Ltd.
K. S. Kumar: Indian Institute of Technology Bombay

Journal of Optimization Theory and Applications, 2009, vol. 142, issue 1, No 4, 67-84

Abstract: Abstract We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (SIAM J. Control Optim. 41:1779–1800, 2003). The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of an optimal portfolio in both finite-horizon and infinite-horizon problems.

Keywords: Risk-sensitive control; Fixed income securities; Nonstationary optimal strategies (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-009-9546-z

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