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Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps

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Abstract

Risk-sensitive asset management problems, both those with a finite horizon and those with an infinite horizon, are studied in a financial market model that has a Wishart autoregressive-type jump-diffusion factor, which is a positive-definite symmetric matrix-valued process. The model describes the stochasticity of the market covariance structure, the interest rates, and the risk-premium of the risky assets. We obtain explicit representations of the solutions to the problems.

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Authors and Affiliations

  1. Department of Mathematics, Faculty of Education, Shizuoka University, Ohya, Shizuoka, 422-852, Japan

    Hiroaki Hata

  2. Division of Applied Mathematics for Social Systems, Graduate School of Engineering Science, Osaka University, 1-3, Machikaneyama, Toyonaka, Osaka, 560-8531, Japan

    Jun Sekine

Authors
  1. Hiroaki Hata
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  2. Jun Sekine
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Correspondence to Hiroaki Hata.

Additional information

Hiroaki Hata’s research is supported by a Grant-in-Aid for Young Scientists (B), No. 15K17584, from Japan Society for the Promotion of Science. Jun Sekine’s research is supported by a Grant-in-Aid for Scientific Research (C), No. 15K03540, from Japan Society for the Promotion of Science.

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Hata, H., Sekine, J. Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. Asia-Pac Financ Markets 24, 221–252 (2017). https://doi.org/10.1007/s10690-017-9231-4

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