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A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

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  • Mayank Goel
  • K. Suresh Kumar

Abstract

We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 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 optimal portfolio in both finite and infinite horizon problems.

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  • Mayank Goel & K. Suresh Kumar, 2007. "A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities," Papers 0711.2718, arXiv.org.
    • Handle: RePEc:arx:papers:0711.2718
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    References listed on IDEAS

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    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.
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