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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Portfolio Optimization: A Combined Regime-Switching and Black–Litterman Model

SSRN Electronic Journal ◽

10.2139/ssrn.2205190 ◽

2013 ◽

Cited By ~ 2

Author(s):

Edwin Fischer ◽

Immanuel Seidl

Keyword(s):

Portfolio Optimization ◽

Regime Switching

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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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Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control

2015 European Control Conference (ECC) ◽

10.1109/ecc.2015.7331055 ◽

2015 ◽

Author(s):

Vladimir Dombrovskii ◽

Tatyana Obedko

Keyword(s):

Model Predictive Control ◽

Transaction Costs ◽

Portfolio Optimization ◽

Financial Market ◽

Predictive Control ◽

Regime Switching

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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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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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Portfolio Optimization in the Financial Market with Regime Switching Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending

SSRN Electronic Journal ◽

10.2139/ssrn.2504962 ◽

2014 ◽

Author(s):

Vladimir Dombrovskii ◽

Tatyana Obedko

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Financial Market ◽

Regime Switching

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Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

International Journal of Robust and Nonlinear Control ◽

10.1002/rnc.5358 ◽

2021 ◽

Vol 31 (6) ◽

pp. 2141-2167

Author(s):

Jun Moon

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Stochastic Optimal Control ◽

Regime Switching ◽

Mean Field ◽

Jump Diffusion ◽

Markov Regime Switching ◽

Field Type ◽

Diffusion Systems ◽

Risk Sensitive

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