Stochastic control problems of long term optimal investment in the presence of non traded risks

  • Surya, B.A. (Principal Investigator)
  • Schumacher, J.M. (Tutor)
  • Werker, Bas (Tutor)

    Project: Research project

    Project Details


    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 titleStochastic control problems of long term optimal investment
    Effective start/end date1/09/011/10/02


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