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Daniel Hernández–Hernández · Study

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Daniel Hernández–Hernández

6 works· latest 2011· 2 institutionscluster: provisionalORCID 0000-0002-3948-9179

h-index6

i106

Citations408

Works here6

99

03

05

06

11

Most cited in this library

An optimal consumption model with stochastic volatility2003 · 122 citations
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management1999 · 74 citations
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties2006 · 73 citations
Robust utility maximization in a stochastic factor model2006 · 57 citations
Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients2005 · 44 citations

Works

6 shown

On the value of stochastic differential games

Communications on Stochastic Analysis·2011·2 authors·Open access

38citations

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Stochastic Processes and their Applications·2006·2 authors·Open access

73citations

Robust utility maximization in a stochastic factor model

Statistics & Risk Modeling·2006·2 authors·Open access

57citations

Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients

SIAM Journal on Control and Optimization·2005·2 authors

44citations

An optimal consumption model with stochastic volatility

Finance and Stochastics·2003·2 authors

122citations

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

Mathematical Methods of Operations Research·1999·3 authors

74citations