Robust portfolio selection under exponential preferences

• Autorzy: Dariusz Zawisza
• Języki publikacji: EN

Abstrakty

EN

We consider an incomplete market with an untradable stochastic factor and a robust investment problem based on the CARA utility. We formulate it as a stochastic differential game problem, and use Hamilton-Jacobi-Bellman-Isaacs equations to derive an explicit representation of the robust optimal portfolio; the HJBI equation is transformed using a substitution of the Cole-Hopf type. Not only the pure investment problem, but also a problem of robust hedging is taken into account: an agent tries to hedge the risk associated with derivatives based on the stochastic factor.

Kategorie tematyczne

• 49L99: None of the above, but in this section
• 91A23: Differential games
• 91G10: Portfolio theory
• 93E20: Optimal stochastic control
• 91A15: Stochastic games

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2010
• Tom: 37
• Numer: 2
• Strony: 215-230

Daty

wydano

2010

Twórcy

autor

Dariusz Zawisza

• Institute of Mathematics, Jagiellonian University, Łojasiewicza 6, 30-348 Kraków, Poland

Identyfikatory

DOI

10.4064/am37-2-6