Risk-sensitive portfolio optimization problems with fixed income securities
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Publication:1035912
DOI10.1007/S10957-009-9546-ZzbMath1180.91262arXiv0711.2718OpenAlexW2045623196MaRDI QIDQ1035912
Publication date: 4 November 2009
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.2718
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (8)
Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space ⋮ Risk-sensitive control with near monotone cost ⋮ Indefinite risk-sensitive control ⋮ Generalised risk-sensitive control with full and partial state observation ⋮ Risk-sensitive control for a class of nonlinear systems with multiplicative noise ⋮ Risk sensitive control of diffusions with small running cost ⋮ Optimal portfolio and consumption subject to multidimensional economic factors ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility
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