Arxiv
| Presentation Name： | Risk-sensitive control, ergodic control and asymptotic estimates of the probability minimizing down-side risk |
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| Presenter： | Professor Hideo Nagai |
| Date： | 2010-11-03 |
| Location： | Room 2001，Guanghua Main Building East |
| Abstract： | We first discuss about relationships between risk-sensitive control and robust utility maximization on a finite time horizon. We moreover show that analysis of the H-J-B equations of parabolic type gives us optimal strategies for the problems. Then we talk about large deviations approach to down-side risk minimization. Analysis of the H-J-B equations of ergodic type relevant to risk-sensitive portfolio optimization leads to obtaining the estimates of the large deviations probability.
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| Annual Speech Directory🤹： | No.92 |
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