We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 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 optimal portfolio in both finite and infinite horizon problems.

This article discusses a class of risk-sensitive portfolio optimisation problem in the finite horizon. Our market consists of stocks and a saving account with the underlying spot interest rate being governed by an stochastic differential equation (SDE). We prove the existence of optimal investment strategies and also obtain an explicit form for optimal strategies. JEL Classification: C61, C69

Herein, we present the design and development of a ‘Non-uniform Rational B-spline (NURBS)’ based iso-geometric approach for the analysis of a number of ‘Boundary Value Problems (BVPs)’ relevant in hydrodynamics. We propose a ‘Potential Function’ based ‘Boundary Element Method (BEM)’ and show that it holds the advantage of being computationally efficient over the other known numerical methods for a wide range of external flow problems. The use of NURBS is consistent, as inspired by the ‘iso-geometric analysis’, from geometric formulation for the body surface to the potential function representation to interpolation. The control parameters of NURBS are utilised and they have been explored to arrive at some preferable values and parameters for parameterization and the knot vector selection. Also, the present paper investigates the variational strength panel method, and its computational performance is analyzed in comparison with the constant strength panel method. The two variations have been considered, e.g. linear and quadratic. Finally, to illustrate the effectiveness and efficiency of the proposed NURBS based iso-geometric approach for the analysis of boundary value problems, five different problems (i.e. flow over a sphere, effect of the knot vector selection on analysis, flow over a rectangular wing section of NACA 0012 aerofoil section, performance of DTMB 4119 propeller (un-skewed), performance of DTNSDRC 4382 propeller (skewed)) are considered. The results show that in the absence of predominant viscous effects, a ‘Potential Function’ based BEM with NURBS representation performs well with very good computational efficiency and with less complexity as compared to the results available from the existing approaches and commercial software programs, i.e. low maximum errors close to 110−3 , faster convergence with even up to 75 % reduction in the number of panels and improvements in the computational efficiency up to 32.5 % even with low number of panels.