Portfolio choice with endogenous utility: a large deviations approach.
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Cites work
- scientific article; zbMATH DE number 107482 (Why is no real title available?)
- scientific article; zbMATH DE number 1006369 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
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- Connections between entropic and linear projections in asset pricing estimation
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- Growth Versus Security in Dynamic Investment Analysis
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- Projections onto the subspace of compact operators
- Risk sensitive asset allocation
Cited in
(28)- \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- Disparity, shortfall, and twice-endogenous HARA utility
- Optimal strategies for a long-term static investor
- A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT
- Asymptotics of the probability minimizing a ``down-side risk
- Asymptotics of the probability of minimizing ``down-side risk under partial information
- On portfolio choice by maximizing the outperformance probability
- Smoothed safety first and the holding of assets
- Generalized Safety First and a New Twist on Portfolio Performance
- Downside risk minimization via a large deviations approach
- Standardized versus customized portfolio: a compensating variation approach
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- Performance measurement of pension strategies: a case study of Danish life cycle products
- Large deviations theorems for optimal investment problems with large portfolios
- Long time asymptotics for optimal investment
- Optimal hedging via large deviation
- Information Theoretic and Entropy Methods: An Overview
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Optimal investment and asymmetric risk: a large deviations approach
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- Gaussian and logistic adaptations of smoothed safety first
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Estimation of the realized (co-)volatility vector: large deviations approach
- The long-run excess optimal power utility of an informed investor and its approximation
- Large-Deviations Theory and Empirical Estimator Choice
- Analysis of heterogeneous endowment policies portfolios under fractional approximations.
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