Project Details
Description
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 |
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Status | Finished |
Effective start/end date | 1/09/01 → 1/10/02 |
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