Risk-Sensitive Dynamic Asset Management with Partial Information

Abstract

Since the early work of Jacobson [], risk-sensitive control problems have been studied extensively from various aspects. Among them, LEQG (Linear Exponential Quadratic Gaussian) control problems have been studied as the analogue of LQG control, where the optimal controls are explicitly represented by using the solutions of matrix Riccati differential equations. In fact, in the case of the discrete time LEQG control problem, the representation of the optimal strategy was obtained by Whittle [] and in the continuous time case by Bensoussan and Van Schuppen [].

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