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Delegated asset management, investment mandates, and capital immobility
Institutional frictions Negatively skewed risk Tracking error constraints Market segmentation
2014/3/18
This paper develops a model to explain the widely used investment mandates in the
institutional asset management industry based on two insights: first, giving a manager
more investment fl...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Jump-Diffusion Risk-Sensitive Asset Management
Jump-Diffusion Risk-Sensitive Asset Management
2010/11/1
This paper considers a portfolio optimization problem in which asset prices arer epresented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxilia...