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

Takashi Tamura; Yûsuke Watanabe

doi:10.3233/asy-2011-1059

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 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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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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Infinite time-horizon risk sensitive systems with quadratic growth

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.652375 ◽

2002 ◽

Cited By ~ 3

Author(s):

W.M. McEneaney ◽

K. Ito

Keyword(s):

Time Horizon ◽

Quadratic Growth ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive

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Portfolio optimization with uncertain exit time in infinite-time horizon

Acta Mathematicae Applicatae Sinica English Series ◽

10.1007/s10255-013-0246-y ◽

2013 ◽

Vol 29 (4) ◽

pp. 673-684 ◽

Cited By ~ 2

Author(s):

Wen-jing Guo ◽

Jun Cai

Keyword(s):

Portfolio Optimization ◽

Time Horizon ◽

Exit Time ◽

Infinite Time ◽

Infinite Time Horizon

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On linear solutions to a class of risk sensitive control for linear systems with stochastic parameters: Infinite time horizon case

2016 American Control Conference (ACC) ◽

10.1109/acc.2016.7526706 ◽

2016 ◽

Cited By ~ 3

Author(s):

Yuji Ito ◽

Kenji Fujimoto ◽

Yukihiro Tadokoro ◽

Takayoshi Yoshimura

Keyword(s):

Linear Systems ◽

Time Horizon ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive ◽

Stochastic Parameters ◽

Risk Sensitive Control ◽

Horizon Case

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An infinite time horizon portfolio optimization model with delays

Mathematical Control and Related Fields ◽

10.3934/mcrf.2016018 ◽

2016 ◽

Vol 6 (4) ◽

pp. 629-651 ◽

Cited By ~ 5

Author(s):

Tao Pang ◽

Azmat Hussain

Keyword(s):

Portfolio Optimization ◽

Optimization Model ◽

Time Horizon ◽

Infinite Time ◽

Infinite Time Horizon ◽

Portfolio Optimization Model

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Full-state-feedback minimal cost variance control on an infinite time horizon: the risk-sensitive approach

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) ◽

10.1109/cdc.2001.980207 ◽

2003 ◽

Author(s):

Chang-Hee Won ◽

M.K. Sain ◽

S.R. Liberty

Keyword(s):

Time Horizon ◽

State Feedback ◽

Minimal Cost ◽

Infinite Time ◽

Infinite Time Horizon ◽

Cost Variance ◽

Risk Sensitive ◽

Full State ◽

Full State Feedback

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Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0008 ◽

2001 ◽

Cited By ~ 4

Author(s):

Hideo Nagai ◽

Shige Peng

Keyword(s):

Time Horizon ◽

Partial Information ◽

Optimal Investment ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive

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Risk-Sensitive Control on an Infinite Time Horizon

SIAM Journal on Control and Optimization ◽

10.1137/s0363012993258720 ◽

1995 ◽

Vol 33 (6) ◽

pp. 1881-1915 ◽

Cited By ~ 199

Author(s):

Wendell H. Fleming ◽

William M. McEneaney

Keyword(s):

Time Horizon ◽

Infinite Time ◽

Infinite Time Horizon ◽

Risk Sensitive ◽

Risk Sensitive Control

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Portfolio Optimization Models on Infinite-Time Horizon

Journal of Optimization Theory and Applications ◽

10.1023/b:jota.0000042596.26927.2d ◽

2004 ◽

Vol 122 (3) ◽

pp. 573-597 ◽

Cited By ~ 12

Author(s):

T. Pang

Keyword(s):

Portfolio Optimization ◽

Time Horizon ◽

Optimization Models ◽

Infinite Time ◽

Infinite Time Horizon

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