Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Asia-Pacific Financial Markets
Erschienen in: Asia-Pacific Financial Markets 2/2021

18.07.2020 | Original Research

Risk-Sensitive Asset Management with Lognormal Interest Rates

verfasst von: Hiroaki Hata

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 2/2021

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

Risk-sensitive asset management on both finite and infinite time horizons are treated on a market with a bank account and a risky stock. The risk-free interest rate is formulated as a geometric Brownian motion, and affects the return of the risky stock. The problems become standard risk-sensitive control problems. We derive the Hamilton–Jacobi–Bellman equations and study these solutions. Using solutions, we construct optimal strategies and optimal values.
Vorheriger Artikel On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN
Nächster Artikel Managerial Ability and External Financing

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Anhänge
Nur mit Berechtigung zugänglich
Literatur
Bensoussan, A. (1992). Stochastic control of partially observable systems. Cambridge: Cambridge University Press.CrossRef
Bielecki, T. R., & Pliska, S. R. (1999). Risk sensitive dynamic asset management. Journal of Applied Mathematics and Optimization, 39(3), 337–360.CrossRef
Bielecki, T. R., & Pliska, S. R. (2004). Risk sensitive Intertemporal CAPM, with application to fixed-income management. IEEE Transactions on Automatic Control (special issue on stochastic control methods in financial engineering), 49(3), 420–432.
Bielecki, T. R., Pliska, S. R., & Sheu, S. J. (2005). Risk-sensitive portfolio management with Cox-Ingersoll-Ross interest rates: the HJB equation. SIAM Journal on Control and Optimization, 44(5), 1811–1843.CrossRef
Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 7, 33–39.CrossRef
Davis, M., & Lleo, S. (2008). Risk-sensitive benchmarked asset management. Quantitative Finance, 8(4), 415–426.CrossRef
Davis, M., & Lleo, S. (2011). Jump-diffusion risk-sensitive asset management I: Diffusion factor model. SIAM Journal on Financial Mathematics, 2(1), 22–54.CrossRef
Davis, M., & Lleo, S. (2013). Jump-diffusion risk-sensitive asset management II: Jump-diffusion factor model. SIAM Journal on Control and Optimization, 51(2), 1441–1480.CrossRef
Fouque, J. P., Papanicolaou, G., & Sircar, K. R. (2000). Derivatives in financial markets with stochastic volatility. Cambridge: Cambridge University Press.
Fleming, W. H., & McEneaney, W. M. (1995). Risk-sensitive control on an infinite time horizon. SIAM Journal on Control and Optimization, 33(6), 1881–1915.CrossRef
Fleming, W. H., & Sheu, S. J. (1999). Optimal long term growth rate of expected utility of wealth. The Annals of Applied Probability, 9(3), 871–903.CrossRef
Fleming, W. H., & Sheu, S. J. (2000). Risk-sensitive control and an optimal investment model. Mathematical Finance, 10(2), 197–213.CrossRef
Fleming, W. H., & Sheu, S. J. (2002). Risk-sensitive control and an optimal investment model II. The Annals of Applied Probability, 12(2), 730–767.CrossRef
Fleming, W. H., & Soner, M. (2006). Controlled Markov processes and viscosity solutions (2nd ed.). New York: Springer.
Hata, H. (2011). Down-side risk large deviations control problem with Cox–Ingersoll–Ross’s interest rates. Asia-Pacific Financial Markets, 18(1), 69–87.CrossRef
Hata, H. (2017). Risk-sensitive asset management in a general diffusion factor model: Risk-seeking case. Japan Journal of Industrial and Applied Mathematics, 34(1), 59–98.CrossRef
Hata, H., & Iida, Y. (2006). A risk-sensitive stochastic control approach to an optimal investment problem with partial information. Finance and Stochastics, 10(3), 395–426.CrossRef
Hata, H., Nagai, H., & Sheu, S. J. (2010). Asymptotics of the probability minimizing a “Down-side” risk. The Annals of Applied Probability, 20(1), 52–89.CrossRef
Hata, H., & Sekine, J. (2006). Solving long term optimal investment problems with Cox–Ingersoll–Ross interest rates. Advanced Mathematical Economics, 8, 231–255.CrossRef
Hata, H., & Sekine, J. (2010). Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem. Applied Mathematics and Optimization, 62(3), 341–380.CrossRef
Hata, H., & Sekine, J. (2013). Risk-sensitive asset management with Wishart-autoregressive-type factor model. Journal of Mathematical Finance, 3(1A), 222–229.CrossRef
Hata, H., & Sekine, J. (2017). Risk-sensitive Asset Management with Jump-Wishart-autoregressive-type Factor Model. Asia-Pacific Financial Markets, 24(3), 221–252.CrossRef
Kaise, H., & Sheu, S.J. (2004). Risk sensitive optimal investment: solutions of the dynamical programming equation. In Mathematics of finance, Contemp. Math., 351, American Mathematical Society, Providence, RI. (pp. 217–230.)
Kaise, H., & Sheu, S. J. (2006). On the structure of solutions of ergodic type Bellman equations related to risk-sensitive control. The Annals of Probability, 34(1), 284–320.CrossRef
Karatzas, I., & Shreve, S. (1991). Brownian Motion and stochastic Calculas (2nd ed.). Berlin: Springer.
Kuroda, K., & Nagai, H. (2002). Risk sensitive portfolio optimization on infinite time horizon. Stochastic Representative, 73(3–4), 309–331.
Nagai, H. (2000). Risk-senstive dynamic asset management with partial information. Stochastics in Finite and Infinite Dimension, a volume in honor of G. Kallianpur, Rajput et al., Editors, Birkh \(\ddot{\text{a}}\) user, 37, 321–339.
Nagai, H. (2003). Optimal strategies for risk-sensitive portfolio optimization problems for general factor models. SIAM Journal on Control and Optimization, 41(6), 1779–1800.CrossRef
Nagai, H. (2011). Asymptotics of the probability minimizing a “down-side” risk under partial information. Quantitative Finance, 11(5), 789–803.CrossRef
Nagai, H. (2012). Downside risk minimization via a large deviations approach. The Annals of Applied Probability, 22(2), 608–669.CrossRef
Nagai, H., & Peng, S. (2002). Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. The Annals of Applied Probability, 12(1), 173–195.CrossRef
Pham, H. (2003). A large deviations approach to optimal long term investment. Finance and Stochastics, 7(2), 169–195.CrossRef
Sekine, J. (2006). A note on long-term optimal portfolios under drawdown constraints. Advances in Applied Probability, 38(3), 673–692.CrossRef
Tamura, T., & Watanabe, Y. (2011). Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon. Asymptotic Analysis, 75(3–4), 169–209.CrossRef
Watanabe, Y. (2013). Asymptotic analysis for a downside risk minimization problem under partial information. Stochastic Processes and Their Applications, 123(3), 1046–1082.CrossRef
Yor, M. (1992). On some exponential functionals of Brownian motion. The Advances in Applied Probability, 24(3), 509–531.CrossRef
Metadaten
Titel
Risk-Sensitive Asset Management with Lognormal Interest Rates
verfasst von
Hiroaki Hata
Publikationsdatum
18.07.2020
Verlag
Springer Japan
Erschienen in
Asia-Pacific Financial Markets / Ausgabe 2/2021
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-020-09312-6

Weitere Artikel der Ausgabe 2/2021

Asia-Pacific Financial Markets 2/2021 Zur Ausgabe

Original Research

Political Stability and the Effectiveness of Currency Based Macro Prudential Measures

Original Research

Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market

Original Research

Managerial Ability and External Financing

Original Research

On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN

Original Research

Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System

Original Research

Imposing Regularity Conditions to Measure Banks’ Productivity Changes in Taiwan Using a Stochastic Approach