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Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models

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References

1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
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1999Optimal long term growth rate of expected utility of wealth102 cited
2002Risk-sensitive portfolio optimization on infinite time horizon95 cited

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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 rates36 cited
2013Zero-sum risk-sensitive stochastic games on a countable state space36 cited
2011

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Large time asymptotic problems for optimal stochastic control with superlinear cost

35 cited

2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach33 cited

2009Risk-Sensitive Control with Near Monotone Cost30 cited

2012Downside risk minimization via a large deviations approach28 cited

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

2016DOWNSIDE RISK MINIMIZATION VIA A LARGE DEVIATIONS APPROACH126 cited

2012Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance25 cited

2010Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem23 cited