Pages that link to "Item:Q3427513"
From MaRDI portal
The following pages link to Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (Q3427513):
Displaying 17 items.
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
- Downside risk minimization via a large deviations approach (Q417076) (← links)
- Weighted entropy and optimal portfolios for risk-averse Kelly investments (Q1692288) (← links)
- Risk-sensitive asset management with lognormal interest rates (Q2036891) (← links)
- Asymptotics of the probability minimizing a ``down-side'' risk (Q2268722) (← links)
- On long term investment optimality (Q2318095) (← links)
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463) (← links)
- Risk-sensitive asset management in a general diffusion factor model: risk-seeking case (Q2364352) (← links)
- Generalised risk-sensitive control with full and partial state observation (Q2434781) (← links)
- Risk-sensitive control for a class of nonlinear systems with multiplicative noise (Q2439158) (← links)
- Indefinite risk-sensitive control (Q2681175) (← links)
- Risk-sensitive control of continuous time Markov chains (Q2811098) (← links)
- A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem (Q2874280) (← links)
- Asymptotics of the probability of minimizing ‘down-side’ risk under partial information (Q3005367) (← links)
- Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
- Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (Q5739574) (← links)
- Robust risk‐sensitive control (Q6193183) (← links)
