Risk-Sensitive ICAPM With Application to Fixed-Income Management

DOI10.1109/TAC.2004.824470MaRDI QIDQ5273713zbMATH OpenFDO

Authors Tomasz R. Bielecki, Stanley R. Pliska

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2004.824470

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

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Cited in

(26)

• Risk-sensitive portfolio optimization problems with fixed income securities
• Long-term optimal portfolios with floor
• Risk-sensitive asset management with lognormal interest rates
• Asymptotics of the probability minimizing a ``down-side risk
• Optimal investment-consumption-insurance with partial information
• On long term investment optimality
• Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
• Asymptotics of robust utility maximization
• Composition of an efficient portfolio in the Bielecki and Pliska market model
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• Risk-sensitive benchmarked asset management
• Coupled projects, core imputations, and the CAPM
• Optimal portfolio and consumption subject to multidimensional economic factors
• The investor problem based on the HJM model
• A note on long-term optimal portfolios under drawdown constraints
• OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
• Risk-sensitive mean field games with major and minor players
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• Hedging longevity risk in defined contribution pension schemes
• Data-driven direct adaptive risk-sensitive control of stochastic systems
• Risk-sensitive benchmarked portfolio optimization under non-linear market dynamics
• Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Portfolio optimization in a semi-Markov modulated market
• A risk-sensitive stochastic control approach to an optimal investment problem with partial information
• Equilibria of continuous-time recurrent fuzzy systems

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