Target achieving portfolio under model misspecification: quadratic optimization framework

• Autorzy: Dariusz Zawisza
• Języki publikacji: EN

Abstrakty

EN

We incorporate model uncertainty into a quadratic portfolio optimization framework. We consider an incomplete continuous time market with a non-tradable stochastic factor. Two stochastic game problems are formulated and solved using Hamilton-Jacobi-Bellman-Isaacs equations. The proof of existence and uniqueness of a solution to the resulting semilinear PDE is also provided. The latter can be used to extend many portfolio optimization results.

Kategorie tematyczne

• 49N90: Applications of optimal control and differential games
• 49L20: Dynamic programming method
• 91A23: Differential games
• 91G10: Portfolio theory
• 91A15: Stochastic games

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2012
• Tom: 39
• Numer: 4
• Strony: 425-443

Daty

wydano

2012

Twórcy

autor

Dariusz Zawisza

• Institute of Mathematics, Faculty of Mathematics and Computer Science, Jagiellonian University, Łojasiewicza 6, 30-348 Kraków, Poland

Identyfikatory

DOI

10.4064/am39-4-3