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Journal of Emerging Market Finance
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A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate

Mayank Goel

Suresh Kumar K.

Mayank Goel and Suresh Kumar K. are at the Department of Mathematics, Indian Institute of Technology Bombay, Mumbai-400076, India. E-mails: mgoel{at}math.iitb.ac.in and suresh{at}math.iitb.ac.in

This article discusses a class of risk-sensitive portfolio optimisation problem in the finite horizon. Our market consists of stocks and a saving account with the underlying spot interest rate being governed by an stochastic differential equation (SDE). We prove the existence of optimal investment strategies and also obtain an explicit form for optimal strategies.

Key Words: JEL Classification: C61 • JEL Classification: C69 • Portfolio optimisation • risk-sensitive control • stochastic interest rate

Journal of Emerging Market Finance, Vol. 5, No. 3, 263-282 (2006)
DOI: 10.1177/097265270600500304
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