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Risk sensitive asset management with transaction costs

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2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management53 cited
2004Optimal tracking for asset allocation with fixed and proportional transaction costs46 cited
2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes46 cited
2000Consumption-investment problems with transaction costs: Survey and open problems44 cited
2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
1999Risk sensitive portfolio optimization41 cited
2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
2011Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model33 cited
2007SIMULATION‐BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS32 cited
2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs31 cited