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q-fin.PM2010★ 1 cited
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Mark Davis, Sebastien Lleo
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by…
q-fin.PM2010
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
Mark Davis, Sebastien Lleo
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are fun…