We consider an optimal investment problem for a factor model treated
by Bielecki and Pliska (Appl. Math. Optim. 39 337–360) as
a risk-sensitive stochastic control problem, where the mean returns of
individual securities are explicitly affected by economic factors defined as
Gaussian processes. We relax the measurability condition assumed as Bielecki
and Pliska for the investment strategies to select. Our investment strategies
are supposed to be chosen without using information of factor processes but by
using only past information of security prices. Then our problem is formulated
as a kind of stochastic control problem with partial information. The case on a
finite time horizon is discussed by Nagai (Stochastics in Finite and
Infinite Dimension 321–340. Birkhäuser, Boston). Here
we discuss the problem on infinite time horizon.
@article{1015961160,
author = {Nagai, Hideo and Peng, Shige},
title = {Risk-Sinsitive Dynamic Portfolio Optimization with Partial
Information on Infinite Time Horizon},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 173-195},
language = {en},
url = {http://dml.mathdoc.fr/item/1015961160}
}
Nagai, Hideo; Peng, Shige. Risk-Sinsitive Dynamic Portfolio Optimization with Partial
Information on Infinite Time Horizon. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 173-195. http://gdmltest.u-ga.fr/item/1015961160/