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February 2002 Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon
Hideo Nagai, Shige Peng
Ann. Appl. Probab. 12(1): 173-195 (February 2002). DOI: 10.1214/aoap/1015961160


We consider an optimal investment problem for a factor model treated by Bielecki and Pliska (Appl. Math. Optim. 39 337–360) as a risk-sensitive stochastic control problem, where the mean returns of individual securities are explicitly affected by economic factors defined as Gaussian processes. We relax the measurability condition assumed as Bielecki and Pliska for the investment strategies to select. Our investment strategies are supposed to be chosen without using information of factor processes but by using only past information of security prices. Then our problem is formulated as a kind of stochastic control problem with partial information. The case on a finite time horizon is discussed by Nagai (Stochastics in Finite and Infinite Dimension 321–340. Birkhäuser, Boston). Here we discuss the problem on infinite time horizon.


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Hideo Nagai. Shige Peng. "Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon." Ann. Appl. Probab. 12 (1) 173 - 195, February 2002.


Published: February 2002
First available in Project Euclid: 12 March 2002

zbMATH: 1042.91048
MathSciNet: MR1890061
Digital Object Identifier: 10.1214/aoap/1015961160

Primary: 91B28 , 93E11 , 93E20
Secondary: 34D23 , 49L20 , 93E11

Keywords: infinite time horizon , modified Zakai equations , partial information , Portfolio optimization , Riccati equations , Risk-sensitive control

Rights: Copyright © 2002 Institute of Mathematical Statistics


Vol.12 • No. 1 • February 2002
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