A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
classification
💱 q-fin.PM
math.OC
keywords
portfoliooptimizationfixedmodelproblemsrisk-sensitivesecuritiesclass
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.