SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Downside risk minimization via a large deviations approach
16 references·1 citing·28 second hop
Downside risk minimization via a large deviations approach (2012)Downside risk minimization via a large de…Asymptotics of the probability minimizing a “down-side” risk (2010)Asymptotics of the probabilit…Risk-sensitive benchmarked asset management (2008)Risk-sensitive benchmarked as…Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates (2007)Solving long term optimal inv…Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (2005)Risk Sensitive Portfolio Mana…Portfolio choice with endogenous utility: a large deviations approach (2003)Portfolio choice with endogen…Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)Optimal Strategies for Risk-S…A large deviations approach to optimal long term investment (2003)A large deviations approach t…Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002)Risk-Sinsitive Dynamic Portfo…Risk-sensitive portfolio optimization on infinite time horizon (2002)Risk-sensitive portfolio opti…Risk-sensitive control and an optimal investment model II (2002)Risk-sensitive control and an…Risk‐Sensitive Control and an Optimal Investment Model (2000)Risk‐Sensitive Control and an…The Risk and Rewards of Minimizing Shortfall Probability (1999)The Risk and Rewards of Minim…Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark (1999)Beating a moving target: Opti…Some Results on Risk-Sensitive Control with Full Observation (1998)Some Results on Risk-Sensitiv…Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Infinite horizon risk-sensiti…Risk-Sensitive Control on an Infinite Time Horizon (1995)An Application of Stochastic Control Theory to Financial Economics (2004)Controlled Markov Processes and Viscosity Solutions (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)Portfolios and risk premia for the long run (2012)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Mean‐Variance Portfolio Selection under Partial Information (2007)Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (2013)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)Option Pricing With Markov-Modulated Dynamics (2006)Strategic asset allocation (1997)Sentience and the Origins of Consciousness: From Cartesian Duality to Markovian Monism (2020)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Skewness in Asset Pricing Tests (2000)Recursive utility in a Markov environment with stochastic growth (2012)Continuous-Time Finance. (1991)Clustering of financial time series with application to index and enhanced index tracking portfolio (2005)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Optimal Decentralized Investment Management (2006)On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control (2006)An optimal consumption model with stochastic volatility (2003)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)
this work references cited by second hop

References

  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 1999Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark198 cited
  • 2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 2002Risk-sensitive control and an optimal investment model II112 cited
  • 2003Portfolio choice with endogenous utility: a large deviations approach108 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited
  • 2003A large deviations approach to optimal long term investment76 cited
  • 2008Risk-sensitive benchmarked asset management75 cited
  • 1999The Risk and Rewards of Minimizing Shortfall Probability71 cited
  • 1998Some Results on Risk-Sensitive Control with Full Observation51 cited
  • 2010Asymptotics of the probability minimizing a “down-side” risk42 cited
  • 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

40 cited
  • 2007Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates36 cited
  • Cited by

    • 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited