Long run risk sensitive portfolio with general factors

Marcin Pitera () and Łukasz Stettner ()
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Marcin Pitera: Jagiellonian University
Łukasz Stettner: Polish Academy of Sciences

Mathematical Methods of Operations Research, 2016, vol. 83, issue 2, No 5, 265-293

Abstract: Abstract In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optimal strategy is presented and examples of market models satisfying imposed assumptions are shown.

Keywords: Risk sensitive portfolio; Risk sensitive criterion; Bellman equation; Weighted span norm; Risk measure; 93E20; 91G10; 91G80 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s00186-015-0528-7

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