Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect |
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| Authors: | Tadashi Hayashi Jun Sekine |
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| Affiliation: | 1.Department of Applied Mathematics and Physics, Graduate School of Informatics,Kyoto University,Kyoto,Japan;2.Division of Mathematical Science for Social Systems, Graduate School of Engineering Science,Osaka University,Osaka,Japan |
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| Abstract: | Risk-sensitive portfolio optimization problems are studied with a specific setting: a market model with a two-dimensional linear-factor is considered, where the factor consisits of an Ornshtein-Uhlenbeck process and its historic weighted-average. A sharp solvability condition is obtained in risk-seeking case. Further, an application of CPPI technique is mentioned to treat a problem with floor-constraint. |
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