{"paper":{"title":"An Optimal Investment Problem under Correlated Noises: Risk-Sensitive Stochastic Control Approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Jingtao Shi, Le Yang, Yueyang Zheng","submitted_at":"2019-02-24T11:25:18Z","abstract_excerpt":"This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion (HARA) with the exponent $\\gamma\\neq0$. The problem can be reformulated as a risk-sensitive stochastic control problem. A new stochastic maximum principle is obtained first, where the adjoint equations and maximum condition heavily depend on the risk-sensitive parameter and the correlation coefficient. The optimal investment strategy is obtained explicitly in a state feedback form via the solution to a certain Ricca"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1902.08928","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}