摘要翻译:
本文将Davis和Lleo提出的跳跃扩散模型推广到包括资产价格的跳跃和估值因素。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)在这种情况下,Hamilton-Jacobi-Bellman方程是一个部分积分微分偏微分方程。本文的主要结果是证明了控制问题的值函数是Hamilton-Jacobi-Bellman方程的唯一粘性解。
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英文标题:
《Risk Sensitive Investment Management with Affine Processes: a Viscosity
Approach》
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作者:
Mark 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:
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. 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.) In this setting, the Hamilton- Jacobi-Bellman equation is a partial integro-differential PDE. The main result of the paper is to show that the value function of the control problem is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation.
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PDF链接:
https://arxiv.org/pdf/1003.2521