Risk-sensitive control and an optimal investment model II
Fleming, W. H. ; Sheu, S. J.
Ann. Appl. Probab., Tome 12 (2002) no. 1, p. 730-767 / Harvested from Project Euclid
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We consider an optimal investment problem proposed by Bielecki and Pliska. The goal of the investment problem is to optimize the long-term growth of expected utility of wealth. We consider HARA utility functions with exponent $-\infty< \gamma< 1$. The problem can be reformulated as an infinite time horizon risk-sensitive control problem. Some useful ideas and results from the theory of risk-sensitive control can be used in the analysis. Especially, we analyze the associated dynamical programming equation. Then an optimal (or approximately optimal) Markovian investment policy can be derived.
Publié le : 2002-05-14
Classification:  Risk-sensitive stochastic control,  optimal investment model,  long-term growth rate,  dynamical programming equation,  Ricatti equation,  90A09,  93E20,  60H30 
@article{1026915623,
     author = {Fleming, W. H. and Sheu, S. J.},
     title = {Risk-sensitive control and an optimal investment model II},
     journal = {Ann. Appl. Probab.},
     volume = {12},
     number = {1},
     year = {2002},
     pages = { 730-767},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1026915623}
}

Fleming, W. H.; Sheu, S. J. Risk-sensitive control and an optimal investment model II. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp.  730-767. http://gdmltest.u-ga.fr/item/1026915623/