Linear Risk-averse Optimal Control Problems: Applications in Economics and Finance

We discuss how Whittle's (Whittle, 1990) approach to risk-sensitive optimal control problems can be applied in economics and finance. We show how his analysis of the class of Linear Exponential Quadratic Gaussian problems can be extended to accommodate time-discounting, while preserving its simple and general recursive solutions. We apply Whittle's methodology investigating two specific problems in financial and monetary policy.

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Year of publication:	2012
Authors:	Vitale, Paolo
Institutions:	Dipartimento di Economia e Finanza (DEF), Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS)
Subject:	Risk-aversion \| Linear Exponential Quadratic Gaussian \| Optimal Control

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Extent:	application/pdf
Series:	Working Papers CASMEF.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1203
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009650230