Risk-sensitive control and an optimal investment model II

• 成果类型: Article
• 署名作者: Fleming, WH; Sheu, SJ
• 署名单位: Brown University; Academia Sinica - Taiwan
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 730-767
• 关键词: bellman equations; asset allocation

摘要

We consider an optimal investment problem proposed by Bielecki and Pliska. The goal of the investment problem is to optimize the long-term growth of expected utility of wealth. We consider HARA utility functions with exponent -infinity < gamma < 1. The problem can be reformulated as an infinite time horizon risk-sensitive control problem. Some useful ideas and results from the theory of risk-sensitive control can be used in the analysis. Especially, we analyze the associated dynamical programming equation. Then an optimal (or approximately optimal) Markovian investment policy can be derived.