Remarks on risk neutral and risk sensitive portfolio optimization

MaRDI QIDQ5493545zbMATHFDO

Authors Giovanni Di Masi, Łukasz Stettner

Publication date 23 October 2006

zbMATH Keywords

Poisson equationBellman equationsplittingrisk sensitive controldiscrete-time Markov processes

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Recommendations

• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• scientific article; zbMATH DE number 2133127

Cited in

(7)

• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Risk-sensitivity vanishing limit for controlled Markov processes
• Long run risk sensitive portfolio with general factors
• Risky allocations from a risk-neutral informed principal
• Problems of mathematical finance by stochastic control methods
• scientific article; zbMATH DE number 5114923 (Why is no real title available?)
• Risk-sensitive portfolio optimization problems with general nonnegative factor models

This page was built for publication: Remarks on risk neutral and risk sensitive portfolio optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5493545)