Portfolio management is a natural application of stochastic control in finance. This research will explore a new use of stochastic control developed recently, that is intended to address these problems and thereby reduce the gap between practice and theory. The approach has two main features: The underlying economic factors such as stocahstic interest rates and the rate of inflation are explicitly incorporated in the model and an infinite horizon risk-sensitive criterion is used for the long-lived investor's objective. The latter asymptotic criterion leads to a large deviation probability control problem.
|Short title||Stochastic control problems of long term optimal investment|
|Effective start/end date||1/09/01 → 1/10/02|