Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice

DOI10.1360/AAS-007-1043MaRDI QIDQ3538147zbMATH OpenOpenAlexFDO

Authors Guangchen Wang, Zhen Wu

Publication date 24 November 2008

Published in Acta Automatica Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/aas-007-1043

zbMATH Keywords

portfolio choicestochastic maximum principlerisk-sensitive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited in

(12)

• On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk
• On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
• scientific article; zbMATH DE number 5259916 (Why is no real title available?)
• Representation of the bilinear system output by multiple stochastic integrals
• Long term optimal investment with regime switching: inflation, information and short sales
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance

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