Art
J-GLOBAL ID：201802283413252721
Reference number：18A2020529
Risk-sensitive portfolio optimization problem for a large trader with inside information
内部情報を使った大きなトレーダのためのリスクが影響するポートフォリオの最適化問題
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Author (1)：
Material：
Volume：
35
Issue：
3
Page：
1037-1063
Publication year：
2018
JST Material Number：
L5671A
ISSN：
0916-7005
Document type：
Article
Article type：
原著論文
Country of issue：
Germany, Federal Republic of (DEU)
Language：
ENGLISH (EN)
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Semi thesaurus term：
Thesaurus term/Semi thesaurus term
Keywords indexed to the article.
All keywords is available on JDreamIII(charged).
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JST classification (1)：
JST classification
Category name(code) classified by JST.
Basic mathematical theory of operations research
Reference (18)：
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Back, K.: Insider trading in continuous time. Rev. Financ. Stud. 5, 387-409 (1992)
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Bensoussan, A.: Stochastic Control of Partially Observable Systems. Cambridge University Press, Cambridge (1992)
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Corcuera, J.M., Imkeller, P., Kohatsu-Higa, A., Nualart, D.: Additional utility of insiders with imperfect dynamical information. Financ. Stoch. 8, 437-450 (2004)
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Danilova, A., Monoyios, M., Ng, A.: Optimal investment with inside information and parameter uncertainty. Math. Financ. Econ. 3, 13-38 (2010)
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Hata, H.: Risk-sensitive asset management in a general diffusion factor model: risk-seeking case. Jpn. J. Ind. Appl. Math. 34(1), 59-98 (2017)
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