摘要翻译：
本文研究了资产价格由布朗运动和泊松随机测度驱动的SDEs表示的资产组合优化问题，其漂移是辅助扩散因子过程的函数。根据Bielecki、Pliska、Nagai和其他人的早期工作，这个准则是风险敏感优化（相当于在方差约束下最大化预期增长率）利用Kuroda和Nagai引入的测度变换技术，证明了该问题归结为求解因子过程中的一个随机控制问题，该问题没有跳变。本文的主要结果是证明了风险敏感的跳跃扩散问题可以完全用抛物型Hamilton-Jacobi-Bellman偏微分方程而不是PIDE来刻画，并且该偏微分方程允许经典的C^{1,2}解。
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英文标题：
《Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model》
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作者：
Mark Davis, Sebastien Lleo
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  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 functions of an auxiliary diffusion factor process. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) By using a change of measure technique introduced by Kuroda and Nagai we show that the problem reduces to solving a certain stochastic control problem in the factor process, which has no jumps. The main result of the paper is to show that the risk-sensitive jump diffusion problem can be fully characterized in terms of a parabolic Hamilton-Jacobi-Bellman PDE rather than a PIDE, and that this PDE admits a classical C^{1,2} solution.
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PDF链接：
https://arxiv.org/pdf/1001.1379