风险敏感基准资产管理的博弈论方法
Game-theoretic approach to risk-sensitive benchmarked asset management
摘要：
在这篇文章中，我们考虑了一个博弈论的方法来风险敏感的基准资产管理问题（RSBAM）的戴维斯和Lleo \cite{DL}。特别地，我们考虑了两个玩家之间的随机微分对策，即，投资者谁有权力的效用，而第二个玩家代表的市场，试图最大限度地减少投资者的预期收益。市场通过调整投资者需要超越的随机基准来做到这一点。我们得到了一个明确的表达的最佳对的战略，为双方的球员。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
