Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors

DOI10.1109/TAC.2004.824476MaRDI QIDQ5273717zbMATH OpenFDO

Authors Łukasz Stettner

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.2004.824476

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Cited in

(8)

• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Portfolio selection in stochastic markets with exponential utility functions
• Portfolio optimization in stochastic markets
• scientific article; zbMATH DE number 5919882 (Why is no real title available?)
• Portfolio optimization for a large investor under partial information and price impact
• Finite horizon partially observable semi-Markov decision processes under risk probability criteria
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

This page was built for publication: Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5273717)