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Risk sensitive asset management with transaction costs · Study

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ArticleRisk sensitive asset management with transaction costs

Tomasz R. Bielecki2000

OA

Articlegreen2000

Risk sensitive asset management with transaction costs

Tomasz R. Bielecki · Stanley R. Pliska

93 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2007Brownian Motion and Stochastic Calculus 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 2005Controlled Markov Processes and Viscosity Solutions 1996Handbook of Brownian Motion — Facts and Formulae 1990Portfolio Selection with Transaction Costs 1980Controlled Diffusion Processes 1995Predictability of Stock Returns: Robustness and Economic Significance

Cited by

2001Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities 2010Impulse Control of Multidimensional Jump Diffusions 2012Portfolios and risk premia for the long run 2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management 2004Optimal tracking for asset allocation with fixed and proportional transaction costs 2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Consumption-investment problems with transaction costs: Survey and open problemsarticle · 9 shared references 2002Optimal Portfolio Selection with Transaction Costs and Finite Horizonsarticle · 7 shared references 2004Asymptotic analysis for optimal investment and consumption with transaction costsarticle · 7 shared references 2000Optimal consumption of a divisible durable goodarticle · 7 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 1998Portfolio optimisation with strictly positive transaction costs and impulse controlarticle · 6 shared references

Details

Year2000

Typearticle

Published2000-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations93

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050001

openalex_workW1997640190

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2000Consumption-investment problems with transaction costs: Survey and open problems

2004Risk-Sensitive ICAPM With Application to Fixed-Income Management