STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
From MaRDI portal
Publication:5487829
Recommendations
- On asymptotic log-optimal portfolio optimization
- scientific article; zbMATH DE number 1380917
- Optimal portfolios for logarithmic utility.
- A log-robust optimization approach to portfolio management
- scientific article; zbMATH DE number 78502
- Optimal portfolio of low liquid assets with a log-utility function
- Log-robust portfolio management with parameter ambiguity
- Empirical log-optimal portfolio selections: a survey
- Limit theorems for log-optimal portfolio
Cites work
- scientific article; zbMATH DE number 412120 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A solution approach to valuation with unhedgeable risks
- An Application of Stochastic Control Theory to Financial Economics
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Risk-sensitive control and an optimal investment model.
- Risk-sensitive dynamic asset management
Cited in
(29)- Asymptotic approximation of optimal portfolio for small time horizons
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
- Optimal consumption problem in the Vasicek model
- An optimal portfolio problem in a defaultable market
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Optimal portfolios for logarithmic utility.
- Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
- scientific article; zbMATH DE number 66189 (Why is no real title available?)
- An empirical analysis on log-utility asset management
- Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate
- An Application of Stochastic Control Theory to Financial Economics
- Portfolio optimization problems with logarithmic utility in CIR interest rate model
- On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- An infinite time horizon portfolio optimization model with delays
- Optimal investment and consumption with default risk: HARA utility
- Robust consumption-investment problem on infinite horizon
- A stochastic portfolio optimization model with bounded memory
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- Iterative nonparametric estimation of a log-optimal portfolio selection function
- Portfolio optimization models on infinite-time horizon
- scientific article; zbMATH DE number 2015387 (Why is no real title available?)
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal debt ratio and consumption strategies in financial crisis
- Stochastic portfolio optimization with default risk
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- Portfolio optimization for assets with stochastic yields and stochastic volatility
This page was built for publication: STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5487829)
