A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

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dc.creatorGoel, Mayank
dc.creatorKumar, K. Suresh
dc.date2007-11-17
dc.date.accessioned2026-07-07T12:05:33Z
dc.date.available2026-07-07T12:05:33Z
dc.descriptionWe 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.
dc.description17 pages
dc.identifierhttps://arxiv.org/abs/0711.2718
dc.identifierhttp://arxiv.org/abs/0711.2718
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208406
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subject91B28, 93E20, 49L20
dc.titleA Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
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