Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

DOI: 10.4236/jmf.2013.31A021   PDF   HTML     4,254 Downloads   7,171 Views   Citations

Abstract

The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following interesting features: 1) it describes the stochasticity of the market covariance structure, interest rates, and the risk premium of the risky assets; and 2) it admits the explicit representations of the solution to the risk-sensitive asset management problem.

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H. Hata and J. Sekine, "Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model," Journal of Mathematical Finance, Vol. 3 No. 1A, 2013, pp. 222-229. doi: 10.4236/jmf.2013.31A021.

Conflicts of Interest

The authors declare no conflicts of interest.

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