Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山)
Risk-Sensitive Portfolio Optimization and Its Applications
Tadashi Hayashi
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2011 年 2011 巻 p. 127-133

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Risk-sensitive portfolio optimization problem is 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. A sharp solvability condition is obtained in risk-seeking case. Further, an application of a CPPI technique is mentioned to treat a problem with floor-constraint. And as its application, we give the sample numerical simulation results with CPPI approach.
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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