Composition of an efficient portfolio in the Bielecki and Pliska market model

DOI10.3103/S0027132211050032zbMath1304.91197OpenAlexW2088022013MaRDI QIDQ2513236

G. S. Kambarbaeva

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132211050032

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate ⋮ On dependence of volatility on return for stochastic volatility models

Cites Work

• Risk-sensitive dynamic asset management
• Risk sensitive asset allocation
• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• Unnamed Item

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