Remarks on risk neutral and risk sensitive portfolio optimization

zbMATH Open1198.91087MaRDI QIDQ5493545FDOQ5493545

Authors: Giovanni Di Masi, Łukasz Stettner 

Publication date: 23 October 2006

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

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)

Cited In (7)

• Risky allocations from a risk-neutral informed principal
• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
• Long run risk sensitive portfolio with general factors
• Problems of mathematical finance by stochastic control methods
• Title not available (Why is that?)
• Risk-sensitivity vanishing limit for controlled Markov processes
• 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)