Pages that link to "Item:Q2840144"
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The following pages link to Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model (Q2840144):
Displaying 19 items.
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
- Risk-sensitive asset management with lognormal interest rates (Q2036891) (← links)
- Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252) (← links)
- Risk-sensitive control for a class of diffusions with jumps (Q2108886) (← links)
- On long term investment optimality (Q2318095) (← links)
- Risk-sensitive asset management in a general diffusion factor model: risk-seeking case (Q2364352) (← links)
- Jump-diffusion asset-liability management via risk-sensitive control (Q2516637) (← links)
- Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds (Q2665872) (← links)
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Q4622808) (← links)
- A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications (Q4646819) (← links)
- On the parabolic equation for portfolio problems (Q4989156) (← links)
- A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL (Q5369467) (← links)
- (Q5416123) (← links)
- Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations (Q6053708) (← links)
- Duality in optimal consumption-investment problems with alternative data (Q6565559) (← links)
- A long-term optimal consumption and investment problem with partial information (Q6588547) (← links)
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors (Q6666642) (← links)
