Risk sensitive portfolio optimization

DOI10.1007/S001860050081MaRDI QIDQ1974591zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

discrete-time portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited in

(27)

• Portfolio optimization for wealth-dependent risk preferences
• Optimal Asset Allocation with Asymptotic Criteria
• Long-run risk sensitive dyadic impulse control
• Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
• Long run risk sensitive portfolio with general factors
• Denumerable Markov stopping games with risk-sensitive total reward criterion.
• Discounted approximations in risk-sensitive average Markov cost chains with finite state space
• Markov decision processes under risk sensitivity: a discount vanishing approach
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Portfolio optimization in stochastic markets
• Problems of mathematical finance by stochastic control methods
• Risk minimization through portfolio replication
• A discounted approach in communicating average Markov decision chains under risk-aversion
• The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
• Portfolio selection in stochastic markets with exponential utility functions
• Markov decision processes with risk-sensitive criteria: an overview
• Discounted approximations to the risk-sensitive average cost in finite Markov chains
• Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
• Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space
• Portfolio optimization with disutility-based risk measure
• Risk-sensitive benchmarked asset management
• Average optimality for risk-sensitive control with general state space
• Existence of bounded solutions to multiplicative Poisson equations under mixing property
• Contractive approximations in average Markov decision chains driven by a risk-seeking controller
• Portfolio selection in stochastic markets with HARA utility functions
• Utilizing risk minimization for portfolio management
• Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

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