A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

Preprint OPEN
Goel, Mayank; Kumar, K. Suresh;
(2007)
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | 91B28, 93E20, 49L20
    arxiv: Computer Science::Computational Engineering, Finance, and Science | Statistics::Other Statistics | Mathematics::Optimization and Control

We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we pr... View more
  • References (18)
    18 references, page 1 of 2

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