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Quantitative Finance Volume 8, 2008 - Issue 4
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Research Papers

Risk-sensitive benchmarked asset management

Mark Davis Department of Mathematics, Imperial College London, London SW7 2AZ, UKCorrespondence[email protected]
&
SÉBastien Lleo Department of Mathematics, Imperial College London, London SW7 2AZ, UKCorrespondence[email protected]
Pages 415-426 | Accepted 29 Mar 2007, Published online: 12 Jun 2008

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Chendi Ni, Yuying Li, Peter Forsyth & Ray Carroll. (2022) Optimal asset allocation for outperforming a stochastic benchmark target. Quantitative Finance 22:9, pages 1595-1626.
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Kai Han, Ximin Rong, Yang Shen & Hui Zhao. (2021) Continuous-time stochastic mutual fund management game between active and passive funds. Quantitative Finance 21:10, pages 1647-1667.
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Zhongyang Sun & Olivier Menoukeu-Pamen. (2018) The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system. Stochastic Analysis and Applications 36:5, pages 782-811.
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Patrick OSullivan & David Edelman. (2016) Optimal derivatives: portfolios, payoffs and preferences. The European Journal of Finance 22:12, pages 1224-1236.
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Hideo Nagai. (2011) Asymptotics of the probability of minimizing ‘down-side’ risk under partial information. Quantitative Finance 11:5, pages 789-803.
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Meng-Fen Hsieh, Tzu-Yi Yang, Yu-Tai Yang & Jen-Sin Lee. (2011) Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries. Quantitative Finance 11:3, pages 423-435.
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Pieter M. van Staden, Peter A. Forsyth & Yuying Li. (2024) Across-time risk-aware strategies for outperforming a benchmark. European Journal of Operational Research 313:2, pages 776-800.
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Pieter M. Van Staden, Peter A. Forsyth & Yuying Li. (2023) Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM Journal on Financial Mathematics 14:2, pages 407-451.
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Hiroaki Hata. (2023) A long-term optimal consumption and investment problem with partial information. Mathematical Control and Related Fields 0:0, pages 0-0.
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Sebastien Lleo & Wolfgang J. Runggaldier. (2023) On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation. SSRN Electronic Journal.
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Ari Arapostathis & Anup Biswas. (2022) Risk-sensitive control for a class of diffusions with jumps. The Annals of Applied Probability 32:6.
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Thomas Nanfeng Li & Andrew Papanicolaou. (2022) Statistical Arbitrage for Multiple Co-integrated Stocks. Applied Mathematics & Optimization 86:1.
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ELENA BOGUSLAVSKAYA, MICHAEL BOGUSLAVSKY & DMITRY MURAVEY. (2022) TRADING MULTIPLE MEAN REVERSION. International Journal of Theoretical and Applied Finance 25:01.
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Jan Obłój & Thaleia Zariphopoulou. (2021) In memoriam: Mark H. A. Davis and his contributions to mathematical finance. Mathematical Finance 31:4, pages 1099-1110.
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Mark H.A. Davis & Sébastien Lleo. (2021) Risk‐sensitive benchmarked asset management with expert forecasts. Mathematical Finance 31:4, pages 1162-1189.
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Hiroaki Hata. (2020) Risk-Sensitive Asset Management with Lognormal Interest Rates. Asia-Pacific Financial Markets 28:2, pages 169-206.
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Hideo Nagai. 2021. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1879 1885 .
Anatolii A. Puhalskii. (2017) On Long Term Investment Optimality. Applied Mathematics & Optimization 80:1, pages 1-62.
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Hideo Nagai. 2019. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1 7 .
Zhongyang Sun, Isabelle Kemajou-Brown & Olivier Menoukeu-Pamen. (2018) A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications. ESAIM: Control, Optimisation and Calculus of Variations 24:3, pages 985-1013.
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Hiroaki Hata & Jun Sekine. (2017) Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. Asia-Pacific Financial Markets 24:3, pages 221-252.
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Hiroaki Hata. (2017) Risk-sensitive asset management in a general diffusion factor model: risk-seeking case. Japan Journal of Industrial and Applied Mathematics 34:1, pages 59-98.
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Scott Robertson & Hao Xing. (2017) Long-Term Optimal Investment in Matrix Valued Factor Models. SIAM Journal on Financial Mathematics 8:1, pages 400-434.
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Aleksandr G. Alekseev & Mikhail V. Sokolov. (2016) Benchmark-based evaluation of portfolio performance: a characterization. Annals of Finance 12:3-4, pages 409-440.
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Scott Robertson & Hao Xing. (2015) Large Time Behavior of Solutions to SemiLinear Equations with Quadratic Growth in the Gradient. SIAM Journal on Control and Optimization 53:1, pages 185-212.
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Huyên Pham. 2015. Large Deviations and Asymptotic Methods in Finance. Large Deviations and Asymptotic Methods in Finance 507 528 .
Hideo Nagai. 2013. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1 9 .
Hiroaki Hata & Jun Sekine. (2013) Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model. Journal of Mathematical Finance 03:01, pages 222-229.
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Jun Sekine. (2013) Long-Term Optimal Investment with a Generalized Drawdown Constraint. SIAM Journal on Financial Mathematics 4:1, pages 452-473.
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Jun Sekine. (2012) Long-term optimal portfolios with floor. Finance and Stochastics 16:3, pages 369-401.
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Hideo Nagai. (2012) Downside risk minimization via a large deviations approach. The Annals of Applied Probability 22:2.
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Hiroaki Hata & Shuenn-Jyi Sheu. (2012) On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution. SIAM Journal on Control and Optimization 50:4, pages 2373-2400.
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Tadashi Hayashi & Jun Sekine. (2010) Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect. Asia-Pacific Financial Markets 18:4, pages 385-403.
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Tadashi Hayashi. (2011) Risk-Sensitive Portfolio Optimization and Its Applications. Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2011:0, pages 127-133.
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Mark Davis & Sébastien Lleo. (2011) Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM Journal on Financial Mathematics 2:1, pages 22-54.
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Hiroaki Hata & Jun Sekine. (2010) Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem. Applied Mathematics & Optimization 62:3, pages 341-380.
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Andrew E.B. Lim & Bernard Wong. (2010) A benchmarking approach to optimal asset allocation for insurers and pension funds. Insurance: Mathematics and Economics 46:2, pages 317-327.
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Hideo Nagai. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Hiroaki Hata, Hideo Nagai & Shuenn-Jyi Sheu. (2010) Asymptotics of the probability minimizing a “down-side” risk. The Annals of Applied Probability 20:1.
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Jan Palczewski & Georgios Aivaliotis. (2012) Investment Strategies and Compensation of a Mean-Variance Optimizing Fund Manager. SSRN Electronic Journal.
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Bernard Wong & Andrew E. B. Lim. (2009) A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds. SSRN Electronic Journal.
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