機率研討會
主講者: Professor Hiroaki Hata (Shizuoka University)
講題: Risk-sensitive Portfolio Optimization Problems with Levy-driven Cox-Ingersoll-Ross Interest Rates
時間: 2012-09-24 (Mon.)  15:15 - 16:15
地點: 數學所 722 研討室 (台大院區)
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.
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