Abstract:
In this paper, we consider the problem on assessment of risk parameters of investment portfolios consisting of assets that can be modeled by a system of stochastic differential equations. Trends of this system depend on a collection of macro-factors, which, in turn, are also modeled by a system of stochastic differential equations. The portfolio management can be constructed by using the maximum condition for risk-sensitive interest rate functional for large time. We obtain direct formulas for values of current risk parameters for the portfolio managed.