Speaker : Professor Hiroaki Hata (Shizuoka University)
Title : Risk-sensitive Portfolio Optimization Problems with Levy-driven Cox-Ingersoll-Ross Interest Rates
Time : 2012-09-24 (Mon) 15:15 - 16:15
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: Consider Levy-driven Cox-Ingersoll-Ross interest rates which we add a subordinator to Cox-Ingersoll-Ross interest rates. This affects the prices of a bank account and a risky stock. Under such a model we construct explicit optimal strategies of risk-sensitive portfolio optimization on finite and infinite time horizon. Moreover, we obtain a concrete domain of risk-sensitive parameters in which these problems are solvable.