Deshpande, Amogh and Jacka, Saul D. (2014) Game-theoretic approach to risk-sensitive benchmarked asset management. Risk and Decision Analysis, 5 (4). pp. 163-176. doi:10.3233/RDA-140108 ISSN 1569-7371.

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Abstract

In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo [Quantitative Finance 8(4) (2008), 415–426]. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market does this by modulating a stochastic benchmark that the investor needs to outperform. We obtain an explicit expression for the optimal pair of strategies as for both the players.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Divisions:	Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH):	Game theory, Two-person zero-sum games, Stochastic analysis, Risk-return relationships, Capitalists and financiers, Stock exchanges
Journal or Publication Title:	Risk and Decision Analysis
Publisher:	IOS Press
ISSN:	1569-7371
Official Date:	2014
Dates:	Date Event 2014 Published
Volume:	5
Number:	4
Page Range:	pp. 163-176
DOI:	10.3233/RDA-140108
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	14 January 2016
Date of first compliant Open Access:	14 January 2016
Related URLs:	Publisher

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