Pages that link to "Item:Q4799385"
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The following pages link to Risk-sensitive portfolio optimization on infinite time horizon (Q4799385):
Displayed 28 items.
- Downside risk minimization via a large deviations approach (Q417076) (← links)
- Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem (Q607784) (← links)
- Risk-sensitive portfolio optimization with two-factor having a memory effect (Q763414) (← links)
- A risk-sensitive stochastic control approach to an optimal investment problem with partial information (Q854287) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- Long-term optimal portfolios with floor (Q1761450) (← links)
- Risk-sensitive control and an optimal investment model. II. (Q1872384) (← links)
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. (Q1872428) (← links)
- Risk-sensitive asset management with lognormal interest rates (Q2036891) (← links)
- Asymptotics of the probability minimizing a ``down-side'' risk (Q2268722) (← links)
- Optimal investment-consumption-insurance with partial information (Q2300968) (← links)
- On long term investment optimality (Q2318095) (← links)
- Risk-sensitive asset management in a general diffusion factor model: risk-seeking case (Q2364352) (← links)
- Asymptotics of robust utility maximization (Q2428048) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Generalised risk-sensitive control with full and partial state observation (Q2434781) (← links)
- Risk-sensitive control for a class of nonlinear systems with multiplicative noise (Q2439158) (← links)
- Jump-diffusion asset-liability management via risk-sensitive control (Q2516637) (← links)
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. (Q2574593) (← links)
- Optimal consumption-investment under partial information in conditionally log-Gaussian models (Q2699282) (← links)
- Constrained dynamic futures portfolios with stochastic basis (Q2701100) (← links)
- On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management (Q3449927) (← links)
- IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES (Q3560082) (← links)
- An Optimal Consumption Problem for General Factor Models (Q4586150) (← links)
- Long-Term Optimal Investment in Matrix Valued Factor Models (Q5280243) (← links)
- A note on long-term optimal portfolios under drawdown constraints (Q5395355) (← links)
- Young, timid, and risk takers (Q6054383) (← links)
- Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior (Q6159013) (← links)