H
Hideo Nagai
Researcher at Osaka University
Publications - 58
Citations - 1085
Hideo Nagai is an academic researcher from Osaka University. The author has contributed to research in topics: Stochastic control & Ergodic theory. The author has an hindex of 17, co-authored 57 publications receiving 1006 citations. Previous affiliations of Hideo Nagai include Paris Dauphine University & Nagoya University.
Papers
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Journal ArticleDOI
Bellman Equations of Risk-Sensitive Control
TL;DR: In this article, a nonnegative solution to the Bellman equation of risk-sensitive control problems is shown and the result is applied to prove that no breaking down occurs, and the relationship between the asymptotics and the large deviation principle is noted.
Journal ArticleDOI
Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon
Hideo Nagai,Shige Peng +1 more
TL;DR: In this paper, an optimal investment problem for a factor model treated by Bielecki and Pliska (Appl. Math. Optim. 39 337-360) as a risk sensitive stochastic control problem, where the mean returns of individual securities are explicitly affected by economic factors defined as Gaussian processes.
Journal ArticleDOI
Risk-sensitive portfolio optimization on infinite time horizon
Kazutaka Kuroda,Hideo Nagai +1 more
TL;DR: In this article, the authors considered a continuous time portfolio optimization problem on an infinite time horizon for a factor model, where the mean returns of individual securities or asset categories are explicitly affected by economic factors.
Journal ArticleDOI
Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
TL;DR: It is shown 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 the authors can construct optimal strategies for the original problems by using the solution of the Bellman equations.
Proceedings ArticleDOI
Bellman equations of risk sensitive control
TL;DR: In this paper, a nonnegative solution to the Bellman equation of risk sensitive control problems is shown, and the result is applied to prove that no breaking down occurs and the relationship between the asymptotics and the large deviation principle is noted.