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Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities

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Abstract

We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (SIAM J. Control Optim. 41:1779–1800, 2003). The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of an optimal portfolio in both finite-horizon and infinite-horizon problems.

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Authors and Affiliations

  1. Quantitative Strategies Group, BA Continuum Solutions Pvt. Ltd., Mumbai, 400072, India

    M. Goel

  2. Department of Mathematics, Indian Institute of Technology Bombay, Mumbai, 400076, India

    K. S. Kumar

Authors
  1. M. Goel
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  2. K. S. Kumar
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Correspondence to K. S. Kumar.

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Communicated by F. Zirilli.

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Goel, M., Kumar, K.S. Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities. J Optim Theory Appl 142, 67–84 (2009). https://doi.org/10.1007/s10957-009-9546-z

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  • DOI: https://doi.org/10.1007/s10957-009-9546-z

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