Portfolio selection in stochastic markets with exponential utility functions
From MaRDI portal
Publication:1026576
DOI10.1007/s10479-008-0406-2zbMath1163.91374OpenAlexW2164522554MaRDI QIDQ1026576
Ethem Çanakoğlu, Süleyman Özekici
Publication date: 25 June 2009
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-008-0406-2
Related Items
Joint tails impact in stochastic volatility portfolio selection models ⋮ On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Portfolio selection with hyperexponential utility functions ⋮ Optimal halting policies in Markov population decision chains with constant risk posture ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Time consistent policy of multi-period mean-variance ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Portfolio selection in stochastic markets with HARA utility functions ⋮ Constant risk aversion in stochastic contests with exponential completion times ⋮ The optimal multi-period hedging model of currency futures and options with exponential utility ⋮ Portfolio selection with imperfect information: A hidden Markov model ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal portfolio and consumption decisions in a stochastic environment with precommitment
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Markov-modulated queueing systems
- Risk-sensitive dynamic asset management
- An optimal consumption model with stochastic volatility
- Existence of risk-sensitive optimal stationary policies for controlled Markov processes
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Risk sensitive portfolio optimization
- Explicit solutions of some utility maximization problems in incomplete markets
- Portfolio optimization in stochastic markets
- Utility maximization in incomplete markets
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Stock Trading: An Optimal Selling Rule
- Reliability of Complex Devices in Random Environments
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Risk sensitive control of discrete time partially observed Markov Processes with Infinite Horizon
- A time‐continuous markov chain interest model with applications to insurance
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors
- Inventory Control in a Fluctuating Demand Environment
- Risk Aversion in the Small and in the Large
- A Multivariate Exponential Distribution
- A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
- A solution approach to valuation with unhedgeable risks
