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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.