Academic Journal
Worst Case Portfolio Optimization and HJB-Systems
| Title: | Worst Case Portfolio Optimization and HJB-Systems |
|---|---|
| Authors: | Ralf Korn, Mogens Steffensen |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Superior Title: | http://www.econ.ku.dk/fru/wp/archive/2006_02.pdf. |
| Collection: | CiteSeerX |
| Subject Terms: | Continuous-time game, asymmetric decisions, market crash, utility opti |
| Description: | We formulate a portfolio optimization problem as a game where the investor chooses a portfolio and his opponent, the market, chooses some market crashes. The asymmetry of the opponents ' decision processes leads to a new and delicate generalization of the classical Hamilton-Jacob-Bellman equation in stochastic control. We characterize the optimal controls in general and specify them further in the cases of HARA, logarithmic, and exponential utility of the investor. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.643.9515; http://www.econ.ku.dk/fru/wp/archive/2006_02.pdf |
| Availability: | http://www.econ.ku.dk/fru/wp/archive/2006_02.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.942FF73 |
| Database: | BASE |
| Description not available. |