Long run risk sensitive portfolio with general factors (Q283999): Difference between revisions

@@ Property / author @@
-Łukasz Stettner
@@ Property / author: Łukasz Stettner / rank @@
-Normal rank
@@ Property / author @@
+Łukasz Stettner
@@ Property / author: Łukasz Stettner / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J05
@@ Property / Mathematics Subject Classification ID: 60J05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6581180
@@ Property / zbMATH DE Number: 6581180 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk sensitive portfolio
@@ Property / zbMATH Keywords: risk sensitive portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk sensitive criterion
@@ Property / zbMATH Keywords: risk sensitive criterion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bellman equation
@@ Property / zbMATH Keywords: Bellman equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weighted span norm
@@ Property / zbMATH Keywords: weighted span norm / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk measure
@@ Property / zbMATH Keywords: risk measure / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q59472694
@@ Property / Wikidata QID: Q59472694 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2963226038
@@ Property / OpenAlex ID: W2963226038 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05460
@@ Property / arXiv ID: 1508.05460 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+Dynamic Limit Growth Indices in Discrete Time
@@ Property / cites work: Dynamic Limit Growth Indices in Discrete Time / rank @@
+Normal rank
@@ Property / cites work @@
+A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
+Normal rank
@@ Property / cites work @@
+A New Fusion Procedure for the Brauer Algebra and Evaluation Homomorphisms
+Normal rank
@@ Property / cites work @@
+Connections between stochastic control and dynamic games
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
+Normal rank
@@ Property / cites work @@
+Q3414481
@@ Property / cites work: Q3414481 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5493545
@@ Property / cites work: Q5493545 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+Two-stage portfolio optimization with higher-order conditional measures of risk
+Normal rank
@@ Property / cites work @@
+Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
+Normal rank
@@ Property / cites work @@
+Risk sensitive control of Markov processes in countable state space
+Normal rank
@@ Property / cites work @@
+Adaptive Markov control processes
@@ Property / cites work: Adaptive Markov control processes / rank @@
+Normal rank
@@ Property / cites work @@
+Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
+Normal rank
@@ Property / cites work @@
+Spectral theory and limit theorems for geometrically ergodic Markov processes
+Normal rank
@@ Property / cites work @@
+Representation results for law invariant time consistent functions
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization and Performance Analysis
@@ Property / cites work: Portfolio Optimization and Performance Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Markov Control Processes
@@ Property / cites work: Risk-Sensitive Markov Control Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Risk sensitive portfolio optimization
@@ Property / cites work: Risk sensitive portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160519
@@ Property / cites work: Q3160519 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:283999