Duality and Risk Sensitive Portfolio Optimization
نویسندگان
چکیده
Assume we are given a market consisting of m securities and k factors. The prices of securities depend on factors, the set of which may include dividend yields, rate of inflation, short term interest rates etc. Denote by V (n) the value of portfolio at time n. Given portfolio strategy h(n) = (h1(n), . . . , hm(n)) T , which is an R vector ( stands for the transpose) representing parts of capital invested in the securities i.e. hi(n) is a part of the capital V (n) at time n invested in the i − th security, we assume the portfolio dynamics of the form
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