IDEAS home Printed from https://ideas.repec.org/r/taf/quantf/v8y2008i4p415-426.html
   My bibliography  Save this item

Risk-sensitive benchmarked asset management

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Huyen Pham, 2014. "Long time asymptotics for optimal investment," Papers 1408.6455, arXiv.org.
  2. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
  3. Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.
  4. 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.
  5. 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.
  6. Huyen Pham, 2014. "Long time asymptotics for optimal investment," Working Papers hal-01058657, HAL.
  7. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
  8. Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll, 2020. "Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target," Papers 2006.15384, arXiv.org.
  9. Alexander Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series Ec-04/16, European University at St. Petersburg, Department of Economics.
  10. Raluca Alexandra CEOCEA & Costel CEOCEA & Alina Bianca POP & Aurel Mihail TITU, 2021. "Study Regarding The Identification And Evaluation Of Risks In The Management Of A Romanian Organization," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(1), pages 530-540, November.
  11. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
  12. Mark H. A. Davis & Sebastien Lleo, 2009. "Jump-Diffusion Risk-Sensitive Asset Management," Papers 0905.4740, arXiv.org, revised Mar 2010.
  13. Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
  14. Marcin Pitera & {L}ukasz Stettner, 2022. "Discrete-time risk sensitive portfolio optimization with proportional transaction costs," Papers 2201.02828, arXiv.org.
  15. 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.
  16. Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.
  17. Lleo, Sébastien & Runggaldier, Wolfgang J., 2024. "On the separation of estimation and control in risk-sensitive investment problems under incomplete observation," European Journal of Operational Research, Elsevier, vol. 316(1), pages 200-214.
  18. Aleksandr Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series 2016/04, European University at St. Petersburg, Department of Economics.
  19. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
  20. Amogh Deshpande & Saul D. Jacka, 2015. "Game-theoretic approach to risk-sensitive benchmarked asset management," Papers 1503.01802, arXiv.org.
  21. 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.
  22. Mark H.A. Davis & Sébastien Lleo, 2021. "Risk‐sensitive benchmarked asset management with expert forecasts," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1162-1189, October.
  23. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  24. E. Boguslavskaya & M. Boguslavsky & D. Muravey, 2020. "Trading multiple mean reversion," Papers 2009.09816, arXiv.org.
  25. S'ebastien Lleo & Wolfgang J. Runggaldier, 2023. "On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation," Papers 2304.08910, arXiv.org, revised Nov 2023.
  26. van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.
  27. T. N. Li & A. Papanicolaou, 2019. "Statistical Arbitrage for Multiple Co-Integrated Stocks," Papers 1908.02164, arXiv.org, revised Feb 2022.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.