Optimal long term growth rate of expected utility of wealth

DOI10.1214/aoap/1029962817zbMath0962.91036OpenAlexW1970973540MaRDI QIDQ1578591

Wendell H. Fleming, Shuenn-Jyi Sheu

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962817

zbMATH Keywords

Ornstein-Uhlenbeck processoptimal policyHARA utility functionlong-term growth rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Risk-sensitive control and an optimal investment model. II., Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon., Portfolio optimization models on infinite-time horizon, Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach, Risk-sensitive asset management in a general diffusion factor model: risk-seeking case, Analyzing operational risk-reward trade-offs for start-ups, A risk-sensitive stochastic control approach to an optimal investment problem with partial information, Optimal Strategies for a Long-Term Static Investor, Risk-averse dynamic programming for Markov decision processes, Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem, HARA frontiers of optimal portfolios in stochastic markets, An Optimal Consumption Problem for General Factor Models, Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis, Unnamed Item, Downside risk minimization via a large deviations approach, Asymptotics of robust utility maximization, Large time asymptotic problems for optimal stochastic control with superlinear cost, Semiparametric diffusion estimation and application to a stock market index, LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH, A Mathematical Analysis of Technical Analysis, Asymptotic arbitrage and large deviations, Asymptotics of the probability of minimizing ‘down-side’ risk under partial information, Controlled Markov decision processes with AVaR criteria for unbounded costs, Long-term optimal portfolios with floor, On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control, Asymptotics of the probability minimizing a ``down-side risk, A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains, Robust optimal control using conditional risk mappings in infinite horizon, Risk-sensitive asset management with lognormal interest rates, A stochastic control model of investment, production and consumption, Optimal investment-consumption-insurance with partial information, MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS, Risk-sensitive portfolio optimization with two-factor having a memory effect, Portfolio selection with transaction costs under expected shortfall constraints, On long term investment optimality, Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

Cites Work

• Risk-sensitive dynamic asset management
• Optimal portfolios with asymptotic criteria
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Principles for modelling financial markets
• Risk-Sensitive Control on an Infinite Time Horizon
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item