scientific article; zbMATH DE number 1944676

MaRDI QIDQ4407993zbMATH OpenFDO

Authors Tomasz R. Bielecki, Stanley R. Pliska

Publication date 2001

zbMATH Keywords

financial decision makinginvestment strategiesrolling-horizon bonds

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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(3)

• Risk-sensitive control and an optimal investment model.
• Optimal investment in a general stochastic factor framework under model uncertainty
• Risk-Sensitive ICAPM With Application to Fixed-Income Management

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