Asymptotics of the probability minimizing a ``down-side risk
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Publication:2268722
DOI10.1214/09-AAP618zbMath1194.93220arXiv1001.2131MaRDI QIDQ2268722
Publication date: 8 March 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.2131
Dynamic programming in optimal control and differential games (49L20) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Large deviations (60F10) Financial applications of other theories (91G80)
Related Items (16)
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Long Time Asymptotics for Optimal Investment ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Downside risk minimization via a large deviations approach ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes ⋮ Asymptotics of robust utility maximization ⋮ Large time asymptotic problems for optimal stochastic control with superlinear cost ⋮ Risk-sensitivity vanishing limit for controlled Markov processes ⋮ ``Down-side risk probability minimization problem with Cox-Ingersoll-Ross's interest rates ⋮ Asymptotics of the probability of minimizing ‘down-side’ risk under partial information ⋮ Long-term optimal portfolios with floor ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ Optimal investment-consumption-insurance with partial information ⋮ Risk-sensitive portfolio optimization with two-factor having a memory effect ⋮ On long term investment optimality ⋮ The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
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