Some Results on Risk-Sensitive Control with Full Observation

1998 ◽  
Vol 37 (1) ◽  
pp. 1-41 ◽  
Author(s):  
A. Bensoussan
Keyword(s):  
Risk Sensitive ◽  
Risk Sensitive Control

Risk-sensitive control of cash management systems

2017 ◽  
Vol 20 (2) ◽  
pp. 1159-1176 ◽  
Author(s):  
Francisco Salas-Molina
Keyword(s):  
Management Systems ◽  
Cash Management ◽  
Risk Sensitive ◽  
Risk Sensitive Control

scholarly journals Erratum to: Risk-Sensitive Control with Near Monotone Cost

2010 ◽  
Vol 62 (3) ◽  
pp. 435-438 ◽  
Author(s):  
Anup Biswas ◽  
V. S. Borkar ◽  
K. Suresh Kumar
Keyword(s):  
Risk Sensitive ◽  
Risk Sensitive Control

scholarly journals On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management

2015 ◽  
Vol 52 (3) ◽  
pp. 703-717
Author(s):  
Amogh Deshpande
Keyword(s):  
Asset Management ◽  
Optimal Strategy ◽  
Stock Price ◽  
Short Selling ◽  
Martingale Measure ◽  
Minimal Martingale Measure ◽  
Risk Sensitive ◽  
Risk Sensitive Control ◽  
Riskless Asset

Kuroda and Nagai (2002) stated that the factor process in risk-sensitive control asset management is stable under the Föllmer-Schweizer minimal martingale measure. Fleming and Sheu (2002) and, more recently, Föllmer and Schweizer (2010) observed that the role of the minimal martingale measure in this portfolio optimization is yet to be established. In this paper we aim to address this question by explicitly connecting the optimal wealth allocation to the minimal martingale measure. We achieve this by using a ‘trick’ of observing this problem in the context of model uncertainty via a two person zero sum stochastic differential game between the investor and an antagonistic market that provides a probability measure. We obtain some startling insights. Firstly, if short selling is not permitted and the factor process evolves under the minimal martingale measure, then the investor's optimal strategy can only be to invest in the riskless asset (i.e. the no-regret strategy). Secondly, if the factor process and the stock price process have independent noise, then, even if the market allows short-selling, the optimal strategy for the investor must be the no-regret strategy while the factor process will evolve under the minimal martingale measure.

Sign in / Sign up

Export Citation Format

Share Document