IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v142y2009i1d10.1007_s10957-009-9546-z.html
   My bibliography  Save this article

Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities

Author

Listed:
  • M. Goel

    (BA Continuum Solutions Pvt. Ltd.)

  • K. S. Kumar

    (Indian Institute of Technology Bombay)

Abstract

We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (SIAM J. Control Optim. 41:1779–1800, 2003). The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of an optimal portfolio in both finite-horizon and infinite-horizon problems.

Suggested Citation

  • M. Goel & K. S. Kumar, 2009. "Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities," Journal of Optimization Theory and Applications, Springer, vol. 142(1), pages 67-84, July.
    • Handle: RePEc:spr:joptap:v:142:y:2009:i:1:d:10.1007_s10957-009-9546-z
    DOI: 10.1007/s10957-009-9546-z
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-009-9546-z
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-009-9546-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    2. Ralf Korn, 1997. "Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3548, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
    2. Jan Kallsen & Johannes Muhle-Karbe, 2009. "Utility maximization in models with conditionally independent increments," Papers 0911.3608, arXiv.org.
    3. Benjamin Avanzi & Hayden Lau & Mogens Steffensen, 2022. "Optimal reinsurance design under solvency constraints," Papers 2203.16108, arXiv.org, revised Jun 2023.
    4. Mayank Goel & K. Suresh Kumar, 2007. "A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities," Papers 0711.2718, arXiv.org.
    5. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 141-168, November.
    6. Cheung, Ka Chun & Yang, Hailiang, 2005. "Optimal stopping behavior of equity-linked investment products with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 599-614, December.
    7. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    8. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    9. Anne Lavigne, 2006. "Gouvernance et investissement des fonds de pension privés aux Etats-Unis," Working Papers halshs-00081401, HAL.
    10. An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
    11. Alan J. Auerbach, 1981. "Evaluating the Taxation of Risky Assets," NBER Working Papers 0806, National Bureau of Economic Research, Inc.
    12. Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
    13. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    14. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
    15. Luca De Gennaro Aquino & Sascha Desmettre & Yevhen Havrylenko & Mogens Steffensen, 2024. "Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time," Papers 2407.16525, arXiv.org, revised Oct 2024.
    16. Chen, An & Hieber, Peter & Sureth, Caren, 2022. "Pay for tax certainty? Advance tax rulings for risky investment under multi-dimensional tax uncertainty," arqus Discussion Papers in Quantitative Tax Research 273, arqus - Arbeitskreis Quantitative Steuerlehre.
    17. Mayank Goel & Suresh Kumar K., 2006. "A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 263-282, December.
    18. Andreas Fagereng & Luigi Guiso & Davide Malacrino & Luigi Pistaferri, 2020. "Heterogeneity and Persistence in Returns to Wealth," Econometrica, Econometric Society, vol. 88(1), pages 115-170, January.
    19. Yuqian Xu & Lingjiong Zhu & Michael Pinedo, 2020. "Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls," Operations Research, INFORMS, vol. 68(6), pages 1804-1825, November.
    20. Yuki SHIGETA, 2022. "A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty," Discussion papers e-22-009, Graduate School of Economics , Kyoto University.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:142:y:2009:i:1:d:10.1007_s10957-009-9546-z. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.