Long run risk sensitive portfolio with general factors

DOI10.1007/s00186-015-0528-7zbMath1341.93109arXiv1508.05460OpenAlexW2963226038WikidataQ59472694 ScholiaQ59472694MaRDI QIDQ283999

Marcin Pitera, Łukasz Stettner

Publication date: 17 May 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05460

zbMATH Keywords

Bellman equationrisk measurerisk sensitive criterionrisk sensitive portfolioweighted span norm

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (13)

Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ A discounted approach in communicating average Markov decision chains under risk-aversion ⋮ Long-run risk sensitive dyadic impulse control ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion ⋮ Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains ⋮ Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space ⋮ Invariant measures for multidimensional fractional stochastic volatility models

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