Risk sensitive asset management with transaction costs

DOI10.1007/S007800050001MaRDI QIDQ1979075zbMATHOpenAlexFDO

Authors Stanley R. Pliska, Tomasz R. Bielecki

Publication date 24 May 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050001

zbMATH Keywords

transaction costsincomplete marketsquasi-variational inequalitiesoptimal portfolio selectionrisk-sensitive impulsive stochastic control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

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• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• Nonzero-sum stochastic games and mean-field games with impulse controls
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• Risk-sensitive control and an optimal investment model. II.
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• Asymptotic analysis of long‐term investment with two illiquid and correlated assets
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• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Should Stochastic Volatility Matter to the Cost‐Constrained Investor?
• Analysis of the rebalancing frequency in log-optimal portfolio selection
• Utility maximisation in a factor model with constant and proportional transaction costs
• Implicit dynamical systems and quasi variational inequalities
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
• Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
• Optimal investment and consumption for an insurer with high-watermark performance fee
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Risk-sensitive asset management and cascading defaults
• Long-term optimal investment in matrix valued factor models
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• Robust portfolios and weak incentives in long-run investments
• Investors' preference for a positive tax rate depends on the level of the interest rate

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