Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities
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DOI: 10.1007/s10957-009-9546-z
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- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Ralf Korn, 1997. "Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3548, September.
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Cited by:
- Shankar, Ravi & Goel, Mayank, 2024. "Risk-sensitive benchmarked portfolio optimization under non-linear market dynamics," Applied Mathematics and Computation, Elsevier, vol. 481(C).
- Tao Pang & Katherine Varga, 2019. "Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 691-729, August.
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Keywords
Risk-sensitive control; Fixed income securities; Nonstationary optimal strategies;All these keywords.
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