The following pages link to Risk sensitive asset allocation (Q1575279):
Displaying 17 items.
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323) (← links)
- Risk-sensitive portfolio optimization with two-factor having a memory effect (Q763414) (← links)
- Asset allocation under multivariate regime switching (Q1027430) (← links)
- Portfolio choice with endogenous utility: a large deviations approach. (Q1398986) (← links)
- Algorithm for constructing the efficient frontier of an investment portfolio (Q1745856) (← links)
- An HJB approach to a general continuous-time mean-variance stochastic control problem (Q1756027) (← links)
- Risk-sensitive control and an optimal investment model. II. (Q1872384) (← links)
- On certain analytically solvable problems of mean field games theory (Q2027870) (← links)
- Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications (Q2513162) (← links)
- Composition of an efficient portfolio in the Bielecki and Pliska market model (Q2513236) (← links)
- Investment strategies and compensation of a mean-variance optimizing fund manager (Q2514727) (← links)
- STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION (Q5292276) (← links)
- OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES (Q5459961) (← links)
- Optimal Asset Allocation with Asymptotic Criteria (Q5696871) (← links)
- A Variational Formula for Risk-Sensitive Reward (Q5737636) (← links)
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging (Q6109848) (← links)
