
The Library
Game-theoretic approach to risk-sensitive benchmarked asset management
Tools
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.
|
PDF
WRAP_8473264-st-060116-rsbam_ad_sj.pdf - Accepted Version - Requires a PDF viewer. Download (551Kb) | Preview |
Official URL: http://dx.doi.org/10.3233/RDA-140108
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: |
|
||||
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: |
Request changes or add full text files to a record
Repository staff actions (login required)
![]() |
View Item |
Downloads
Downloads per month over past year