Risk sensitive portfolio optimization
From MaRDI portal
Publication:1974591
DOI10.1007/S001860050081zbMATH Open0949.93077OpenAlexW2056329886MaRDI QIDQ1974591FDOQ1974591
Authors: Łukasz Stettner 
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
Cited In (27)
- Existence of bounded solutions to multiplicative Poisson equations under mixing property
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
- Risk minimization through portfolio replication
- Long run risk sensitive portfolio with general factors
- Denumerable Markov stopping games with risk-sensitive total reward criterion.
- The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion
- Utilizing risk minimization for portfolio management
- 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
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Problems of mathematical finance by stochastic control methods
- A discounted approach in communicating average Markov decision chains under risk-aversion
- Portfolio selection in stochastic markets with HARA utility functions
- Portfolio optimization with disutility-based risk measure
- Long-run risk sensitive dyadic impulse control
- Portfolio optimization in stochastic markets
- Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
- Portfolio selection in stochastic markets with exponential utility functions
- Portfolio optimization for wealth-dependent risk preferences
- Optimal Asset Allocation with Asymptotic Criteria
- Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space
- Risk-sensitive benchmarked asset management
- Average optimality for risk-sensitive control with general state space
- Discounted approximations in risk-sensitive average Markov cost chains with finite state space
- Markov decision processes with risk-sensitive criteria: an overview
This page was built for publication: Risk sensitive portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1974591)
