Risk Sensitive Optimal Portfolio Model under Jump Processes
【摘要】：正Suppose that there is a single riskless bond and m risky securities in the financial market, where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors, and the prices of risky securities modeled by jump-diffusion processes. The risk sensitive optimal portfolio problem has been established. The necessary condition for the optimal trading strategies is obtained. The analytic solution for the reduction model is presented, and simulation results are given.