Risk sensitive portfolio optimization

Lukasz Stettner

doi:10.1007/s001860050081

Risk sensitive portfolio optimization

Mathematical Methods of Operations Research ◽

10.1007/s001860050081 ◽

1999 ◽

Vol 50 (3) ◽

pp. 463-474 ◽

Cited By ~ 22

Author(s):

Lukasz Stettner

Keyword(s):

Portfolio Optimization ◽

Risk Sensitive

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Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

From Stochastic Calculus to Mathematical Finance ◽

10.1007/978-3-540-30788-4_10 ◽

2006 ◽

pp. 211-226 ◽

Cited By ~ 2

Author(s):

Giovanni B. Di Masi ◽

Lukasz Stettner

Keyword(s):

Portfolio Optimization ◽

Risk Sensitive ◽

Risk Neutral

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Risk-sensitive portfolio optimization with partial information

Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187) ◽

10.1109/cdc.2000.912019 ◽

2002 ◽

Author(s):

H. Nagai

Keyword(s):

Portfolio Optimization ◽

Partial Information ◽

Risk Sensitive

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Risk-sensitive Portfolio Optimization with Full and Partial Information

Stochastic Analysis and Related Topics in Kyoto: In honour of Kiyosi Itô ◽

10.2969/aspm/04110257 ◽

2019 ◽

Cited By ~ 2

Author(s):

Hideo Nagai

Keyword(s):

Portfolio Optimization ◽

Partial Information ◽

Risk Sensitive

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Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon

Asymptotic Analysis ◽

10.3233/asy-2011-1059 ◽

2011 ◽

Vol 75 (3-4) ◽

pp. 169-209 ◽

Cited By ~ 7

Author(s):

Takashi Tamura ◽

Yûsuke Watanabe

Keyword(s):

Portfolio Optimization ◽

Time Horizon ◽

Optimization Problems ◽

Hidden Markov ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive

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Risk-sensitive portfolio optimization with transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2004.115 ◽

2004 ◽

Vol 8 (1) ◽

pp. 39-63 ◽

Cited By ~ 14

Author(s):

Tomasz Bielecki ◽

Jean-Philippe Chancelier ◽

Stanley Pliska ◽

Agnès Sulem

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Risk Sensitive

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Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect

Asia-Pacific Financial Markets ◽

10.1007/s10690-010-9136-y ◽

2010 ◽

Vol 18 (4) ◽

pp. 385-403

Author(s):

Tadashi Hayashi ◽

Jun Sekine

Keyword(s):

Portfolio Optimization ◽

Memory Effect ◽

Risk Sensitive

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Risk-sensitive portfolio optimization on infinite time horizon

Stochastics and Stochastics Reports ◽

10.1080/1045112021000025961 ◽

2002 ◽

Vol 73 (3-4) ◽

pp. 309-331 ◽

Cited By ~ 50

Author(s):

Kazutaka Kuroda ◽

Hideo Nagai

Keyword(s):

Portfolio Optimization ◽

Time Horizon ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive

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Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Applicationes Mathematicae ◽

10.4064/am32-4-3 ◽

2005 ◽

Vol 32 (4) ◽

pp. 395-404 ◽

Cited By ~ 2

Author(s):

Łukasz Stettner

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Discrete Time ◽

Proportional Transaction Costs ◽

Risk Sensitive

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Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

SIAM Journal on Control and Optimization ◽

10.1137/18m1166274 ◽

2019 ◽

Vol 57 (1) ◽

pp. 366-401 ◽

Cited By ~ 3

Author(s):

Lijun Bo ◽

Huafu Liao ◽

Xiang Yu

Keyword(s):

Portfolio Optimization ◽

Regime Switching ◽

Risk Sensitive ◽

Default Contagion

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Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors

IEEE Transactions on Automatic Control ◽

10.1109/tac.2004.824476 ◽

2004 ◽

Vol 49 (3) ◽

pp. 457-464 ◽

Cited By ~ 7

Author(s):

L. Stettner

Keyword(s):

Portfolio Optimization ◽

Risk Sensitive ◽

Partially Observed

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