Downside risk minimization via a large deviations approach
From MaRDI portal
Publication:417076
DOI10.1214/11-AAP781zbMath1242.91223arXiv1205.0672OpenAlexW3104160683MaRDI QIDQ417076
Publication date: 13 May 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.0672
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Variational methods for elliptic systems (35J50) Large deviations (60F10) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (13)
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Long Time Asymptotics for Optimal Investment ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes ⋮ Large time asymptotic problems for optimal stochastic control with superlinear cost ⋮ Variance-optimal martingale measures for diffusion processes with stochastic coefficients ⋮ Ergodic Problems for Viscous Hamilton--Jacobi Equations with Inward Drift ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ On long term investment optimality ⋮ H-J-B equations of optimal consumption-investment and verification theorems ⋮ The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
Cites Work
- Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
- A risk-sensitive stochastic control approach to an optimal investment problem with partial information
- Risk-sensitive dynamic asset management
- Some results on risk-sensitive control with full observation
- Portfolio choice with endogenous utility: a large deviations approach.
- A large deviations approach to optimal long term investment
- Optimal long term growth rate of expected utility of wealth
- Risk-sensitive control and an optimal investment model. II.
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Asymptotics of the probability minimizing a ``down-side risk
- A risk-sensitive control dual approach to a large deviations control problem
- Linear and quasilinear elliptic equations
- Risk-Sensitive Control and an Optimal Investment Model
- Asymptotics of the probability of minimizing ‘down-side’ risk under partial information
- Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
- Risk-sensitive benchmarked asset management
- On the principal eigenvalue of second-order elliptic differential operators
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Risk-sensitive portfolio optimization on infinite time horizon
- Bellman Equations of Risk-Sensitive Control
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Downside risk minimization via a large deviations approach
