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      Game-theoretic approach to risk-sensitive benchmarked asset management

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          Abstract

          In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market does this by modulating a stochastic benchmark that the investor needs to outperform. We obtain an explicit expression for the optimal pair of strategies as for both the players.

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          Author and article information

          Journal
          2015-03-05
          1503.01802

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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          Forthcoming in Risk and Decision Analysis. arXiv admin note: text overlap with arXiv:0905.4740 by other authors
          math.OC q-fin.PM

          Numerical methods, Portfolio management

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