scientific article; zbMATH DE number 1867096

zbMATH Open1037.91046MaRDI QIDQ4792530FDOQ4792530

Authors Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska

Publication date 2002

zbMATH Keywords

Markov chainoptimal strategycapital asset pricing modelrisk sensitive control theoryfinancial decision

Mathematics Subject Classification ID

Recommendations

• scientific article; zbMATH DE number 1642336
• Risk-sensitive dynamic asset management
• Risk sensitive asset allocation
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• scientific article; zbMATH DE number 2134081

Cited in

(4)

• Abstract, classic, and explicit turnpikes
• scientific article; zbMATH DE number 1642336 (Why is no real title available?)
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
• Long-term optimal investment in matrix valued factor models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4792530)