A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
Portfolio Management
2008-12-02 v1 Optimization and Control
Abstract
We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 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 optimal portfolio in both finite and infinite horizon problems.
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Cite
@article{arxiv.0711.2718,
title = {A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities},
author = {Mayank Goel and K. Suresh Kumar},
journal= {arXiv preprint arXiv:0711.2718},
year = {2008}
}
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17 pages