Risk‐sensitive benchmarked asset management with expert forecasts

2021 ◽  
Author(s):  
Mark Davis ◽  
Sébastien Lleo
Keyword(s):  
Asset Management ◽  
Risk Sensitive ◽  
Expert Forecasts

scholarly journals Game-theoretic approach to risk-sensitive benchmarked asset management

2014 ◽  
Vol 5 (4) ◽  
pp. 163-176 ◽  
Author(s):  
Amogh Deshpande ◽  
Saul Jacka
Keyword(s):  
Asset Management ◽  
Theoretic Approach ◽  
Risk Sensitive ◽  
Game Theoretic ◽  
Game Theoretic Approach

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.

Risk Sensitive Asset Management With Constrained Trading Strategies

2001 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Daniel Hernandez-Hernandez ◽  
Stanley R. Pliska
Keyword(s):  
Asset Management ◽  
Trading Strategies ◽  
Risk Sensitive

scholarly journals Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

2011 ◽  
Vol 2 (1) ◽  
pp. 22-54 ◽  
Author(s):  
Mark Davis ◽  
Sébastien Lleo
Keyword(s):  
Asset Management ◽  
Factor Model ◽  
Jump Diffusion ◽  
Diffusion Factor ◽  
Risk Sensitive

Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach

Stochastics ◽  
2009 ◽  
Vol 81 (5) ◽  
pp. 503-530 ◽  
Author(s):  
Arunabha Bagchi ◽  
K. Suresh Kumar
Keyword(s):  
Differential Game ◽  
Asset Management ◽  
Negative Factor ◽  
Risk Sensitive

scholarly journals Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

2013 ◽  
Vol 03 (01) ◽  
pp. 222-229 ◽  
Author(s):  
Hiroaki Hata ◽  
Jun Sekine
Keyword(s):  
Asset Management ◽  
Factor Model ◽  
Risk Sensitive

scholarly journals Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

2013 ◽  
Vol 51 (2) ◽  
pp. 1441-1480 ◽  
Author(s):  
Mark Davis ◽  
Sébastien Lleo
Keyword(s):  
Asset Management ◽  
Factor Model ◽  
Jump Diffusion ◽  
Diffusion Factor ◽  
Risk Sensitive
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