Risk-Sensitive Control and an Optimal Investment Model
Download or Read eBook Risk-Sensitive Control and an Optimal Investment Model PDF written by Wendell H. Fleming and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle.
| Author | : Wendell H. Fleming |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| ISBN-10 | : OCLC:1291261513 |
| ISBN-13 | : |
| Rating | : 4/5 (13 Downloads) |
Book Synopsis Risk-Sensitive Control and an Optimal Investment Model by : Wendell H. Fleming
Book excerpt: We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynamic programming equation associated with this control problem and derive some consequences of the investment problem.
