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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Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

SIAM Journal on Financial Mathematics ◽

10.1137/120897596 ◽

2013 ◽

Vol 4 (1) ◽

pp. 916-960 ◽

Cited By ~ 4

Author(s):

Andrew Papanicolaou

Keyword(s):

Dimension Reduction ◽

Portfolio Optimization ◽

Discrete Time ◽

Partial Information

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Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon

10.1214/aoap/1015961160 ◽

2002 ◽

Vol 12 (1) ◽

pp. 173-195 ◽

Cited By ~ 69

Author(s):

Hideo Nagai ◽

Shige Peng

Keyword(s):

Portfolio Optimization ◽

Time Horizon ◽

Partial Information ◽

Infinite Time ◽

Infinite Time Horizon ◽

Dynamic Portfolio ◽

Dynamic Portfolio Optimization

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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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Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model

Operations Research Proceedings - Operations Research Proceedings 2005 ◽

10.1007/3-540-32539-5_36 ◽

2006 ◽

pp. 223-228 ◽

Cited By ~ 1

Author(s):

Jörn Sass

Keyword(s):

Markov Model ◽

Hidden Markov Model ◽

Portfolio Optimization ◽

Partial Information ◽

Hidden Markov ◽

Convex Constraints

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A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Finance and Stochastics ◽

10.1007/s00780-006-0010-8 ◽

2006 ◽

Vol 10 (3) ◽

pp. 395-426 ◽

Cited By ~ 12

Author(s):

Hiroaki Hata ◽

Yasunari Iida

Keyword(s):

Stochastic Control ◽

Partial Information ◽

Optimal Investment ◽

Control Approach ◽

Investment Problem ◽

Risk Sensitive ◽

Optimal Investment Problem

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