英文标题：
《Game-theoretic approach to risk-sensitive benchmarked asset management》
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作者：
Amogh Deshpande and Saul D. Jacka
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最新提交年份：
2015
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英文摘要：
In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \\cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market does this by modulating a stochastic benchmark that the investor needs to outperform. We obtain an explicit expression for the optimal pair of strategies as for both the players.
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中文摘要：
在本文中，我们考虑了一种博弈论方法来解决Davis和Lleo\\cite{DL}的风险敏感基准资产管理问题（RSBAM）。特别地，我们考虑了两个参与者之间的随机微分博弈，即拥有幂效用的投资者，而第二个参与者代表试图最小化投资者预期收益的市常市场通过调整投资者需要超越的随机基准来实现这一点。我们得到了双方最优策略对的显式表达式。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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