This paper extends the risk-sensitive asset management theory developed by Bielecki and Pliska and by Kuroda and Nagai to the case where the investor's objective is to outperform an investment benchmark. The main result is a mutual fund theorem. Every investor following the same benchmark will...

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999