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Risk‐Sensitive Control and an Optimal Investment Model

Citations

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Cited by:

  1. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 18552, Victoria University of Wellington, School of Economics and Finance.
  2. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
  3. Arash Fahim & Lingjiong Zhu, 2023. "Optimal Investment in a Dual Risk Model," Risks, MDPI, vol. 11(2), pages 1-29, February.
  4. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  5. Hiroaki Hata, 2021. "Risk-Sensitive Asset Management with Lognormal Interest Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 169-206, June.
  6. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
  7. Chen, Fang & Guo, Xianping, 2023. "Two-person zero-sum risk-sensitive stochastic games with incomplete reward information on one side," Stochastic Processes and their Applications, Elsevier, vol. 165(C), pages 218-245.
  8. Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
  9. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
  10. Hyungbin Park & Heejun Yeo, 2022. "Dynamic and static fund separations and their stability for long-term optimal investments," Papers 2212.00391, arXiv.org, revised Mar 2023.
  11. Tadashi Hayashi & Jun Sekine, 2011. "Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 385-403, November.
  12. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
  13. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2013. "Dynamic Limit Growth Indices in Discrete Time," Papers 1312.1006, arXiv.org, revised Jul 2014.
  14. Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.
  15. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
  16. Juan Li & Wenqiang Li & Gechun Liang, 2020. "A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models," Papers 2005.10660, arXiv.org, revised May 2021.
  17. Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
  18. Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
  19. Hideo Nagai, 2011. "Asymptotics of the probability of minimizing 'down-side' risk under partial information," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 789-803.
  20. Mou-Hsiung Chang & Tao Pang & Yipeng Yang, 2011. "A Stochastic Portfolio Optimization Model with Bounded Memory," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 604-619, November.
  21. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
  22. Huyên Pham, 2003. "A large deviations approach to optimal long term investment," Finance and Stochastics, Springer, vol. 7(2), pages 169-195.
  23. Jan Palczewski & Lukasz Stettner, 2007. "Growth-optimal portfolios under transaction costs," Papers 0707.3198, arXiv.org.
  24. Xu, Lin & Zhang, Liming & Yao, Dingjun, 2017. "Optimal investment and reinsurance for an insurer under Markov-modulated financial market," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 7-19.
  25. Akihiko Inoue & Yumiharu Nakano, 2005. "Optimal long term investment model with memory," Papers math/0506621, arXiv.org, revised May 2006.
  26. Hanchao Liu & Dena Firoozi & Mich`ele Breton, 2023. "LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework," Papers 2305.15364, arXiv.org, revised Mar 2025.
  27. Marcin Pitera & {L}ukasz Stettner, 2022. "Discrete-time risk sensitive portfolio optimization with proportional transaction costs," Papers 2201.02828, arXiv.org.
  28. Youyi Feng & Baichun Xiao, 2008. "Technical Note---A Risk-Sensitive Model for Managing Perishable Products," Operations Research, INFORMS, vol. 56(5), pages 1305-1311, October.
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