An infinite time horizon portfolio optimization model with delays

Tao Pang; Azmat Hussain

doi:10.3934/mcrf.2016018

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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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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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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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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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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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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A portfolio optimization model for corporate bonds subject to credit risk

The Journal of Risk ◽

10.21314/jor.2004.090 ◽

2004 ◽

Vol 6 (2) ◽

pp. 31-48 ◽

Cited By ~ 7

Author(s):

Nagisa Akutsu ◽

Masaaki Kijima ◽

Katsuya Komoribayashi

Keyword(s):

Credit Risk ◽

Portfolio Optimization ◽

Optimization Model ◽

Corporate Bonds ◽

Portfolio Optimization Model

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Optimal Denial-of-Service Attack Strategy on State Estimation over Infinite-time Horizon

IEEE Transactions on Circuits & Systems II Express Briefs ◽

10.1109/tcsii.2021.3057134 ◽

2021 ◽

pp. 1-1

Author(s):

Yao Li ◽

Shanying Zhu ◽

Cailian Chen ◽

Xinping Guan

Keyword(s):

State Estimation ◽

Time Horizon ◽

Denial Of Service ◽

Infinite Time ◽

Infinite Time Horizon ◽

Denial Of Service Attack ◽

Service Attack ◽

Attack Strategy

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Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference

Applied Soft Computing ◽

10.1016/j.asoc.2021.107519 ◽

2021 ◽

pp. 107519

Author(s):

Yunzhen Dai ◽

Zhongfeng Qin

Keyword(s):

Portfolio Optimization ◽

Optimization Model ◽

Risk Preference ◽

Dynamic Risk ◽

Portfolio Optimization Model

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H/sub ∞/ Gaussian filter on infinite time horizon

IEEE Transactions on Circuits and Systems I Fundamental Theory and Applications ◽

10.1109/tcsi.2002.1001957 ◽

2002 ◽

Vol 49 (5) ◽

pp. 674-679 ◽

Cited By ~ 31

Author(s):

Xiang Chen ◽

Kemin Zhou

Keyword(s):

Time Horizon ◽

Gaussian Filter ◽

Infinite Time ◽

Infinite Time Horizon

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A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution

Annals of Operations Research ◽

10.1007/s10479-014-1654-y ◽

2014 ◽

Vol 226 (1) ◽

pp. 727-739 ◽

Cited By ~ 22

Author(s):

Shangmei Zhao ◽

Qing Lu ◽

Liyan Han ◽

Yong Liu ◽

Fei Hu

Keyword(s):

Portfolio Optimization ◽

Optimization Model ◽

Laplace Distribution ◽

Asymmetric Laplace Distribution ◽

Model Based ◽

Portfolio Optimization Model

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