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Risk-Sensitive Dynamic Asset Management
6 references·16 citing·45 second hop
Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset ManagementBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesOptimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…A Dynamic Mean-Variance Analysis for Log Returns (2018)A Dynamic Mean-Variance Analy…A Stochastic Portfolio Optimization Model with Bounded Memory (2011)A Stochastic Portfolio Optimi…Risk-sensitive benchmarked asset management (2008)Risk-sensitive benchmarked as…Option Pricing With Markov-Modulated Dynamics (2006)Option Pricing With Markov-Mo…Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Multiperiod portfolio optimiz…Portfolio optimization in stochastic markets (2005)Portfolio optimization in sto…On some recent aspects of stochastic control and their applications (2005)On some recent aspects of sto…An Application of Stochastic Control Theory to Financial Economics (2004)An Application of Stochastic …Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)Optimal Strategies for Risk-S…An optimal consumption model with stochastic volatility (2003)An optimal consumption model …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…Risk sensitive asset management with transaction costs (2000)Risk sensitive asset manageme…Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)On perpetual American put valuation and first-passage in a regime-switching model with jumps (2008)The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2008)Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads (2012)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingales and stochastic integrals in the theory of continuous trading (1981)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Option pricing and Esscher transform under regime switching (2005)Portfolio Selection with Transaction Costs (1990)Derivatives in Financial Markets with Stochastic Volatility (2000)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Volatility Model and Optimal Portfolio Selection (2012)Strategic asset allocation (1997)Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2013)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Modern Portfolio Theory and Investment Analysis. 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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited

Cited by

  • 2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
  • 2006Option Pricing With Markov-Modulated Dynamics132 cited
  • 2006Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach131 cited
  • 2003An optimal consumption model with stochastic volatility122 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 2002Risk-sensitive control and an optimal investment model II112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2000Risk sensitive asset management with transaction costs

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93 cited
  • 2005On some recent aspects of stochastic control and their applications92 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited
  • 2018A Dynamic Mean-Variance Analysis for Log Returns88 cited
  • 2004An Application of Stochastic Control Theory to Financial Economics86 cited
  • 2005Portfolio optimization in stochastic markets82 cited
  • 2008Risk-sensitive benchmarked asset management75 cited
  • 2011A Stochastic Portfolio Optimization Model with Bounded Memory74 cited