Risk-sensitive benchmarked asset management (Q3518381): Difference between revisions

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+https://doi.org/10.1080/14697680701401042
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+W2152557891
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@@ Property / cites work @@
+The numeraire portfolio for unbounded semimartingale
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+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
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+Risk-Sensitive ICAPM With Application to Fixed-Income Management
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+Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
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+Optimal Sure Portfolio Plans
@@ Property / cites work: Optimal Sure Portfolio Plans / rank @@
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+Capital growth with security
@@ Property / cites work: Capital growth with security / rank @@
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+Optimum consumption and portfolio rules in a continuous-time model
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+Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
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+A large deviations approach to optimal long term investment
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