| Article ID: | iaor200971328 |
| Country: | United States |
| Volume: | 142 |
| Issue: | 1 |
| Start Page Number: | 67 |
| End Page Number: | 84 |
| Publication Date: | Jul 2009 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Goel M, Kumar K S |
| Keywords: | portfolio optimization |
We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai (2003). The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of an optimal portfolio in both finite-horizon and infinite-horizon problems.