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Details for article 13 of 23 found articles
| Title: |
Optimal portfolio for a highly risk-averse investor: A differential game interpretation |
| Author: |
Kaise, Hidehiro Sekine, Jun |
| Appeared in: |
Risk and decision analysis |
| Paging: | Volume 3 (2012) nr. 3 pages 211-222 |
| Year: |
2012-07-02 |
| Contents: |
Risk-sensitive portfolio optimization is treated with a linear-Gaussian-factor model. The main interest is how a highly risk-averse investor controls his/her interest rate risk. A simple risk-averse limit with increasing risk-averse parameter γ↑∞ is not appropriate: the associated maximized risk-sensitized expected growth rate goes to −∞ as γ↑∞, and a “breakdown” occurs in the limit. Instead, a small-noise and large-risk-aversion limit is considered, assuming the factor-noise has a small parameter ε<1, taking ε-dependent risk-averse parameter γ(ε)=O(ε−2)>1, and letting ε↓0. The limit value is characterized as the value of a linear-quadratic differential game. A sequence (πε(ε))ε>0 of ε-dependent dynamic investment strategies is constructed from a saddle point of the game, and its asymptotic optimality is shown as ε↓0. |
| Publisher: |
IOS Press |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 13 of 23 found articles
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