Risk-sensitive portfolio optimization on infinite time horizon

By Kazutaka Kuroda, H. Nagai. 2002

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Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002, background): “Since their works there have been several works [4, 10, 11, 13] improving the independence condition assumed in [3].”
Risk-sensitive benchmarked asset management (2008, methodology): “As in Kuroda and Nagai (2002), we define for 40 C :¼ ffiffiffiffiffiffiffiffiffiffiffi 2 þ 2 r 0ð 0Þ 1Â; N 1 :¼ 2 I þ 2 0ð 0Þ 1 ; so that the Ricatti equation (20) becomes _QðtÞ þ K01QðtÞ þQðtÞK1 QðtÞ N 1 0QðtÞ þ CC0 ¼ 0; QðTÞ ¼ 0: ð29Þ Now, consider the linear ODE for a given N nmatrix K: _Pþ ðK1…”
Portfolios and risk premia for the long run. (2012, unknown): “4 Fleming and McEneaney (1995), Nagai (1996, 2003), Bielecki and Pliska (1999, 2000), Fleming and Sheu (2000, 2002), Kuroda and Nagai (2002) and Nagai and Peng (2002), Hata and Sekine (2005), Kaise and Sheu (2004, 2006).”
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003, background): “Fleming and Sheu, 2002; Kuroda and Nagai, 2002 ).”
Controlled diffusion processes (2005, background): “See [78] for a slightly more general formulation.”