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Risk-Sensitive Dynamic Asset Management with Partial Information
9 references·2 citing·36 second hop
Risk-Sensitive Dynamic Asset Management with Partial Information (2001)Risk-Sensitive Dynamic Asset Management w…Risk sensitive optimal control and differential games (2007)Risk sensitive optimal contro…Stochastic Analysis, Control, Optimization and Applications (1999)Stochastic Analysis, Control,…Risk-Sensitive Dynamic Asset Management (1999)Risk-Sensitive Dynamic Asset …Optimal Portfolio Management with Partial Observations and Power Utility Function (1999)Optimal Portfolio Management …Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Some Results on Risk-Sensitive Control with Full Observation (1998)Some Results on Risk-Sensitiv…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …Optimal Investment Models and Risk Sensitive Stochastic Control (1995)Optimal Investment Models and…A risk-sensitive maximum principle (1990)A risk-sensitive maximum prin…An optimal consumption and investment problem with partial information (2018)An optimal consumption and in…DOWNSIDE RISK MINIMIZATION VIA A LARGE DEVIATIONS APPROACH1 (2016)DOWNSIDE RISK MINIMIZATION VI…Explicit Solution of a General Consumption/Investment Problem (1986)Recent developments in international finance: A guide to research (1997)Controlled Markov Processes and Viscosity Solutions (2005)Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Controlled Diffusion Processes (1980)Risk‐Sensitive Control and an Optimal Investment Model (2000)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Option Pricing With Markov-Modulated Dynamics (2006)Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochastic Calculus (1988)Connections between stochastic control and dynamic games (1996)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions (1996)A new risk-sensitive maximum principle (2005)The convergence problem for differential games (1961)Controlled diffusion processes (2005)Ergodic Problems in Differential Games (2007)Experimental design and estimation of growth rate distributions in size-structured shrimp populations (2009)Methods of Mathematical Finance (1998)Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy (1986)Optimal Portfolio Choice Under Incomplete Information (1986)Dynamic Asset Pricing Theory. (1993)Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities (2004)Downside risk minimization via a large deviations approach (2012)A Finite-Dimensional Risk-Sensitive Control Problem (1995)Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games (1999)Risk-sensitive portfolio optimization on infinite time horizon (2002)Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)An Application of Stochastic Control Theory to Financial Economics (2004)Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates (2007)Zero-sum risk-sensitive stochastic games on a countable state space (2013)
this work references cited by second hop

References

  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 1999Stochastic Analysis, Control, Optimization and Applications161 cited
  • 2007Risk sensitive optimal control and differential games115 cited
  • 1990A risk-sensitive maximum principle112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 1998Some Results on Risk-Sensitive Control with Full Observation51 cited
  • 1995Optimal Investment Models and Risk Sensitive Stochastic Control39 cited
  • 1999Optimal Portfolio Management with Partial Observations and Power Utility Function33 cited

Cited by

  • 2018An optimal consumption and investment problem with partial information27 cited
  • 2016DOWNSIDE RISK MINIMIZATION VIA A LARGE DEVIATIONS APPROACH126 cited

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