Risk-Sensitive Control and an Optimal Investment Model
We consider an optimal investment model in which the goal is to maximize the long‐term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as...
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| Veröffentlicht in: | Mathematical finance 2000-04, Vol.10 (2), p.197-213 |
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| container_title | Mathematical finance |
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| creator | Fleming, W. H. Sheu, S. J. |
| description | We consider an optimal investment model in which the goal is to maximize the long‐term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk‐sensitive control problem. We study the dynamic programming equation associated with this control problem and derive some consequences of the investment problem. |
| doi_str_mv | 10.1111/1467-9965.00089 |
| format | Article |
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We study the dynamic programming equation associated with this control problem and derive some consequences of the investment problem.</description><subject>Dynamic programming</subject><subject>dynamic programming equation</subject><subject>Economic models</subject><subject>Expected utility</subject><subject>Investment</subject><subject>Investment policy</subject><subject>long-term growth rate</subject><subject>Mathematical economics</subject><subject>Mathematical methods</subject><subject>Mathematical models</subject><subject>optimal investment model</subject><subject>Optimization</subject><subject>Riccati equation</subject><subject>Risk</subject><subject>risk-sensitive stochastic control</subject><subject>Securities issues</subject><subject>Studies</subject><subject>Utility functions</subject><issn>0960-1627</issn><issn>1467-9965</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2000</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFULluGzEUJIwEiGK7Trtw4W5tXsujFORLiQ_YSZDygVpSEKW9Qq6U6O_NzRoq3ITA4BHkzHA4CH0h-IKkdUm4kLnWorjAGCt9hCaHkw9ogrXAORFUfkKfY1wnCudcTpB48XGTf3dN9L3fuWzWNn1oq8w0NiF76npfmyqbNzsX-9o1ffbQWledoI9LU0V3-jaP0c-b6x-zu_z-6XY-m97npSBC5wWxxrpymTIIKyzRgljLF4RLTjGljFNVSms01ZSoxUIawQtSEl1QbpRRmh2j89G3C-3vbYoAtY-lqyrTuHYbgSmlKCVFIp69I67bbWhSNqAMY4oVp4l0OZLK0MYY3BK6kL4X9kAwDCXCUBkMlcG_EpPi66gIrnPlgb6oTG361dLDDphJYmb2CTSJ0vDDNqEb7rQEShis-jqZ8dHsj6_c_n9vw8P0Zj5myEeZj737e5CZsAEhmSzg1-MtXKlv5PnuRYJgrzKQmMQ</recordid><startdate>200004</startdate><enddate>200004</enddate><creator>Fleming, W. 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J.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Risk-Sensitive Control and an Optimal Investment Model</atitle><jtitle>Mathematical finance</jtitle><date>2000-04</date><risdate>2000</risdate><volume>10</volume><issue>2</issue><spage>197</spage><epage>213</epage><pages>197-213</pages><issn>0960-1627</issn><eissn>1467-9965</eissn><abstract>We consider an optimal investment model in which the goal is to maximize the long‐term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk‐sensitive control problem. 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| ispartof | Mathematical finance, 2000-04, Vol.10 (2), p.197-213 |
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| language | eng |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | Dynamic programming dynamic programming equation Economic models Expected utility Investment Investment policy long-term growth rate Mathematical economics Mathematical methods Mathematical models optimal investment model Optimization Riccati equation Risk risk-sensitive stochastic control Securities issues Studies Utility functions |
| title | Risk-Sensitive Control and an Optimal Investment Model |
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