Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes.
Milan Kumar DasAnindya GoswamiNimit RanaPublished in: SIAM J. Control. Optim. (2018)
Keyphrases
- risk sensitive
- diffusion model
- portfolio optimization
- utility function
- optimal control
- portfolio selection
- portfolio management
- anisotropic diffusion
- factor analysis
- markov decision processes
- information diffusion
- problems involving
- risk management
- stock market
- markov chain
- diffusion process
- optimization methods
- stock price
- model free
- bi objective
- robust optimization
- decision theoretic
- optimality criterion
- stock exchange
- diffusion tensor
- expected utility
- data mining
- steady state
- decision problems
- state space
- dynamic programming
- social networks