{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:27:39Z","timestamp":1787322459913,"version":"build-2736575974"},"reference-count":15,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Control Optim."],"published-print":{"date-parts":[[2003,1]]},"abstract":"<jats:p>We consider constructing optimal strategies for risk-sensitive portfolio optimization problems on an infinite time horizon for general factor models, where the mean returns and the volatilities of individual securities or asset categories are explicitly affected by economic factors. The factors areassumed to be general diffusion processes. In studying the ergodic type Bellman equations of the risk-sensitive portfolio optimization problems, we introduce some auxiliary classical stochastic control problems with the same Bellman equations as the original ones. We show that the optimal diffusion processes of the problem are ergodic and that under some condition related to integrability by the invariant measures of the diffusion processes we can construct optimal strategies for the original problems by using the solution of the Bellman equations.<\/jats:p>","DOI":"10.1137\/s0363012901399337","type":"journal-article","created":{"date-parts":[[2003,6,11]],"date-time":"2003-06-11T11:12:06Z","timestamp":1055329926000},"page":"1779-1800","source":"Crossref","is-referenced-by-count":72,"title":["Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models"],"prefix":"10.1137","volume":"41","author":[{"given":"Hideo","family":"Nagai","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2006,7,26]]},"reference":[{"key":"R1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176995476"},{"key":"R2","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511526503"},{"key":"R3","doi-asserted-by":"publisher","DOI":"10.1007\/s002459900067"},{"key":"R4","doi-asserted-by":"publisher","DOI":"10.1007\/s002459900110"},{"key":"R5","unstructured":"T. R. Bielecki and S. R. Pliska,\n                      Risk\u2010Sensitive Intertemporal CAPM, with Application to Fixed Income Management\n                      , preprint."},{"key":"R6","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012992232579"},{"key":"R7","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1029962817"},{"key":"R8","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00089"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1026915623"},{"key":"R10","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-009-9121-7"},{"key":"R11","unstructured":"K. Kuroda and H. Nagai,\n                      Ergodic type Bellman equation of risk\u2010sensitive control and portfolio optimization on infinite time horizon\n                      , Optimal Control and Partial Differential Equations \u2010 Innovations & Applications, A. Sulem, J. L. Menaldi, and E. Rofman, eds., IOS Press, Amsterdam, 2000, pp. 530\u2013538."},{"key":"R12","doi-asserted-by":"publisher","DOI":"10.1080\/1045112021000025961"},{"key":"R13","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012993255302"},{"key":"R14","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1015961160"},{"key":"R15","doi-asserted-by":"publisher","DOI":"10.1007\/s001860050081"}],"container-title":["SIAM Journal on Control and Optimization"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/S0363012901399337","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:22:09Z","timestamp":1787318529000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/S0363012901399337"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2003,1]]},"references-count":15,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2003,1]]}},"alternative-id":["10.1137\/S0363012901399337"],"URL":"https:\/\/doi.org\/10.1137\/s0363012901399337","relation":{},"ISSN":["0363-0129","1095-7138"],"issn-type":[{"value":"0363-0129","type":"print"},{"value":"1095-7138","type":"electronic"}],"subject":[],"published":{"date-parts":[[2003,1]]}}}