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ArticleRisk sensitive asset allocation

Tomasz R. Bielecki2000

Article2000

Risk sensitive asset allocation

Tomasz R. Bielecki · Stanley R. Pliska · Michael Sherris

58 citations·0/0 files stored·Journal of Economic Dynamics and Control

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

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References

1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1978Asset Prices in an Exchange Economy 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1985An Intertemporal General Equilibrium Model of Asset Prices 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying 1995Predictability of Stock Returns: Robustness and Economic Significance 1996Dynamic Nonmyopic Portfolio Behavior

Cited by

2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management 2004Risk-Sensitive ICAPM With Application to Fixed-Income Management 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation 2007Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

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Year2000

Typearticle

Published2000-07-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations58

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0165-1889(99)00017-2

openalex_workW2012131330

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