Risk-sensitive portfolio optimization problem for a large trader with inside information
Hiroaki HataShizuoka University 下午 2:00–3:30 鴻經館M430Abstract:
We consider a financial model with a large trader and insider characteristics. This trader has some influence on the dynamics of prices. Moreover, the information of the insider is the final price plus a blurring noise that disappears as the final time approaches. Under such a setting, we try to obtain the explicit solution of a risk-sensitive portfolio optimization problem with finite time horizon.