Asymptotics of the probability of minimizing ``down-side risk under partial information
DOI10.1080/14697680903341814zbMATH Open1213.91143OpenAlexW2017075378MaRDI QIDQ3005367FDOQ3005367
Authors: Hideo Nagai 
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903341814
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- scientific article; zbMATH DE number 1342043
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dynamic programmingstochastic controlportfolio managementKalman filtersstochastic analysisdownside riskmulti-factor modelsmathematics of finance
Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
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- Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
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- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Asymptotics of the probability minimizing a ``down-side risk
- Risk-sensitive benchmarked asset management
- A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Cited In (10)
- Downside risk minimization via a large deviations approach
- An optimal consumption and investment problem with partial information
- Down-side risk minimization under prescribed consumption level
- Large deviation estimates for controlled semi-martingales
- Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
- Risk-sensitive asset management with lognormal interest rates
- Asymptotics of the probability minimizing a ``down-side risk
- Asymptotic analysis for a downside risk minimization problem under partial information
- Long-term optimal portfolios with floor
- Asymptotic minimaxity of the ratio strategy
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