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Game-theoretic approach to risk-sensitive benchmarked asset management

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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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Official URL: http://dx.doi.org/10.3233/RDA-140108

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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:
DateEvent
2014Published
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
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