Game-theoretic approach to risk-sensitive benchmarked asset management

Amogh Deshpande, Saul Jacka

Research output: Contribution to journalArticleResearchpeer-review


In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo [Quantitative Finance 8(4) (2008), 415-426]. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market does this by modulating a stochastic benchmark that the investor needs to outperform. We obtain an explicit expression for the optimal pair of strategies as for both the players.

Original languageEnglish
Pages (from-to)163-176
Number of pages14
JournalRisk and Decision Analysis
Issue number4
Publication statusPublished - 1 Jan 2014
Externally publishedYes


  • Risk-sensitive control
  • zero sum stochastic differential game

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