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Optimal long term growth rate of expected utility of wealth
5 references·16 citing·36 second hopsampled
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
  • 1995On Portfolio Optimization under “Drawdown” Constraints159 cited

Cited by

  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited
  • 2004An Application of Stochastic Control Theory to Financial Economics86 cited
  • 2003A large deviations approach to optimal long term investment76 cited
  • 2006On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control64 cited
  • 2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management53 cited
  • 2010Asymptotics of the probability minimizing a “down-side” risk42 cited
  • 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
  • 2006STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY37 cited
  • 2007

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Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
36 cited
  • 2011Large time asymptotic problems for optimal stochastic control with superlinear cost35 cited
  • 2008Asymptotic arbitrage and large deviations34 cited
  • 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach33 cited
  • 2011Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model33 cited
  • 2006A risk-sensitive stochastic control approach to an optimal investment problem with partial information32 cited
  • 2011HARA frontiers of optimal portfolios in stochastic markets32 cited