Risk sensitive portfolio optimization
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Publication:1974591
DOI10.1007/S001860050081zbMath0949.93077OpenAlexW2056329886MaRDI QIDQ1974591
Publication date: 7 May 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050081
Related Items (19)
Long run risk sensitive portfolio with general factors ⋮ Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach ⋮ Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Optimal Asset Allocation with Asymptotic Criteria ⋮ Average optimality for risk-sensitive control with general state space ⋮ Problems of Mathematical Finance by Stochastic Control Methods ⋮ Portfolio optimization in stochastic markets ⋮ A discounted approach in communicating average Markov decision chains under risk-aversion ⋮ Long-run risk sensitive dyadic impulse control ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion ⋮ Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains ⋮ Portfolio selection in stochastic markets with exponential utility functions ⋮ Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space ⋮ Portfolio selection in stochastic markets with HARA utility functions
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