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Risk-Sensitive Dynamic Asset Management · Study

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ArticleRisk-Sensitive Dynamic Asset Management

Tomasz R. Bielecki1999

Article1999

Risk-Sensitive Dynamic Asset Management

Tomasz R. Bielecki

290 citations·0/0 files stored·Applied Mathematics & Optimization

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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 1971Optimum consumption and portfolio rules in a continuous-time model 1980Controlled Diffusion Processes 1995Predictability of Stock Returns: Robustness and Economic Significance 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios 1983A stochastic calculus model of continuous trading: Complete markets

Cited by

2000Risk‐Sensitive Control and an Optimal Investment Model 2006Option Pricing With Markov-Modulated Dynamics 2006Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach 2003An optimal consumption model with stochastic volatility 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon 2002Risk-sensitive control and an optimal investment model II 1999Optimal long term growth rate of expected utility of wealth 2002Risk-sensitive portfolio optimization on infinite time horizon

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Details

Year1999

Typearticle

Published1999-05-06

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations290

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s002459900110

openalex_workW2013530375

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