A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate

This article discusses a class of risk-sensitive portfolio optimisation problem in the finite horizon. Our market consists of stocks and a saving account with the underlying spot interest rate being governed by an stochastic differential equation (SDE). We prove the existence of optimal investment strategies and also obtain an explicit form for optimal strategies.

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Year of publication:	2006
Authors:	Goel, Mayank ; Suresh Kumar K.
Published in:	Journal of Emerging Market Finance. - Institute for Financial Management and Research. - Vol. 5.2006, 3, p. 263-282
Publisher:	Institute for Financial Management and Research
Subject:	Portfolio optimisation \| risk-sensitive control \| stochastic interest rate

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Extent:	text/html
Type of publication:	Article
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C69 - Mathematical Methods and Programming. Other
Source:	RePEc - Research Papers in Economics

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