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摘要翻译：
本文研究了资产价格由布朗运动和泊松随机测度驱动的SDEs表示的资产组合优化问题，其漂移是辅助扩散因子过程的函数。根据Bielecki、Pliska、Nagai和其他人的早期工作，这个准则是风险敏感优化（相当于在方差约束下最大化预期增长率）利用Kuroda和Nagai引入的测度变换技术，证明了该问题归结为求解因子过程中的一个随机控制问题，该问题没有跳变。本文的主要结果是该问题的Hamilton-Jacobi-Bellman方程有一个经典解。证明采用Bellman的“策略改进”方法和Ladyzhenskaya等人关于线性抛物型偏微分方程的结果。
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英文标题：
《Jump-Diffusion Risk-Sensitive Asset Management》
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作者：
Mark H.A. Davis and Sebastien Lleo
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最新提交年份：
2010
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分类信息：
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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英文摘要：
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) By using a change of measure technique introduced by Kuroda and Nagai we show that the problem reduces to solving a certain stochastic control problem in the factor process, which has no jumps. The main result of the paper is that the Hamilton-Jacobi-Bellman equation for this problem has a classical solution. The proof uses Bellman's "policy improvement" method together with results on linear parabolic PDEs due to Ladyzhenskaya et al.
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PDF链接：
https://arxiv.org/pdf/0905.4740
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