Risk-Sensitive Control and an Optimal Investment Model
From MaRDI portal
Publication:2707143
DOI10.1111/1467-9965.00089zbMath1039.93069OpenAlexW2082304159MaRDI QIDQ2707143
Wendell H. Fleming, Shuenn-Jyi Sheu
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00089
Riccati equationrisk-sensitive controldynamic programming equationsecuritiesoptimal investment model
Related Items (54)
Risk-sensitive control and an optimal investment model. II. ⋮ Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. ⋮ Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ Portfolio optimization in a semi-Markov modulated market ⋮ A risk-sensitive stochastic control approach to an optimal investment problem with partial information ⋮ An infinite time horizon portfolio optimization model with delays ⋮ Long Time Asymptotics for Optimal Investment ⋮ Dynamic Limit Growth Indices in Discrete Time ⋮ Optimal investment and reinsurance for an insurer under Markov-modulated financial market ⋮ Optimal investment problem with complete memory on an infinite time horizon ⋮ Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ Risk-averse dynamic programming for Markov decision processes ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ An Optimal Consumption Problem for General Factor Models ⋮ Risk-sensitive fixed-point smoothing estimation for linear discrete-time systems with multiple output delays ⋮ Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis ⋮ Downside risk minimization via a large deviations approach ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Asymptotics of robust utility maximization ⋮ Portfolios and risk premia for the long run ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ A stochastic control model of investment and consumption with applications to financial economics ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ Second order backward stochastic differential equations with quadratic growth ⋮ Abstract, classic, and explicit turnpikes ⋮ A note on long-term optimal portfolios under drawdown constraints ⋮ Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes ⋮ Asymptotics of the probability of minimizing ‘down-side’ risk under partial information ⋮ On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control ⋮ Asymptotics of the probability minimizing a ``down-side risk ⋮ A risk-sensitive control dual approach to a large deviations control problem ⋮ Robust optimal control using conditional risk mappings in infinite horizon ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES ⋮ A stochastic control model of investment, production and consumption ⋮ Optimal investment-consumption-insurance with partial information ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Risk-sensitive portfolio optimization with two-factor having a memory effect ⋮ STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY ⋮ On long term investment optimality ⋮ Risk-sensitive portfolio optimization problems with fixed income securities ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Parameter identification for portfolio optimization with a slow stochastic factor ⋮ Ergodic risk-sensitive control for regime-switching diffusions ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Risk-sensitive mean field games with major and minor players
This page was built for publication: Risk-Sensitive Control and an Optimal Investment Model
