Long run risk sensitive portfolio with general factors
Optimization and Control
2015-08-25 v1 Mathematical Finance
Portfolio Management
Risk Management
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
Cite
@article{arxiv.1508.05460,
title = {Long run risk sensitive portfolio with general factors},
author = {Marcin Pitera and Łukasz Stettner},
journal= {arXiv preprint arXiv:1508.05460},
year = {2015}
}