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Risk-sensitive control and an optimal investment model II

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2005Controlled Markov Processes and Viscosity Solutions2,698 cited
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1995On Portfolio Optimization under “Drawdown” Constraints159 cited

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2020Sentience and the Origins of Consciousness: From Cartesian Duality to Markovian Monism186 cited
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2012Portfolios and risk premia for the long run67 cited
2010Asymptotics of the probability minimizing a “down-side” risk42 cited
2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
2007Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

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36 cited

2011Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model33 cited

2006A risk-sensitive stochastic control approach to an optimal investment problem with partial information32 cited

2017Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE32 cited

2013Second order backward stochastic differential equations with quadratic growth29 cited

2012Downside risk minimization via a large deviations approach28 cited

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

2012On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution27 cited