Year: 2011
Type: preprint
Abstract: 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, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-differential equation (PIDE). By combining viscosity solutions with a change of notation, a policy improvement argument and classical results on parabolic PDEs we prove that the HJB PIDE admits a unique smooth solution. A verification theorem concludes the resolution of this problem.
Authors: Davis, Mark, Lleo, Sebastien
Institutions: Imperial College London, Reims Management School
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Award: G3489040212
OpenAlex ID: W2950076331