Risk-Sensitive Investment Management

Mark H A Davis and Sebastien Lleo
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Mark H A Davis: Imperial College London, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
ISBN: 9789814578035
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Citations: View citations in EconPapers (14)

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https://www.worldscientific.com/worldscibooks/10.1142/9026 (text/html)
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Chapters in this book:

Ch 1 The Merton Problem , pp 3-15

Mark H. A. Davis and Sebastien Lleo

Ch 2 Risk-Sensitive Asset Management , pp 17-40

Mark H. A. Davis and Sebastien Lleo

Ch 3 Managing Against a Benchmark , pp 41-56

Mark H. A. Davis and Sebastien Lleo

Ch 4 Asset and Liability Management , pp 57-87

Mark H. A. Davis and Sebastien Lleo

Ch 5 Investment Constraints , pp 89-107

Mark H. A. Davis and Sebastien Lleo

Ch 6 Infinite Horizon Problems , pp 109-128

Mark H. A. Davis and Sebastien Lleo

Ch 7 Jumps in Asset Prices , pp 131-168

Mark H. A. Davis and Sebastien Lleo

Ch 8 General Jump-Diffusion Setting , pp 169-205

Mark H. A. Davis and Sebastien Lleo

Ch 9 Fund Separation and Fractional Kelly Strategies , pp 207-226

Mark H. A. Davis and Sebastien Lleo

Ch 10 Managing Against a Benchmark: Jump-Diffusion Case , pp 227-260

Mark H. A. Davis and Sebastien Lleo

Ch 11 Asset and Liability Management: Jump-Diffusion Case , pp 261-304

Mark H. A. Davis and Sebastien Lleo

Ch 12 Factor and Securities Models , pp 307-315

Mark H. A. Davis and Sebastien Lleo

Ch 13 Case Studies , pp 317-347

Mark H. A. Davis and Sebastien Lleo

Ch 14 Numerical Methods , pp 349-365

Mark H. A. Davis and Sebastien Lleo

Ch 15 Factor Estimation: Filtering and Black-Litterman , pp 367-383

Mark H. A. Davis and Sebastien Lleo

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