Optimal Asset Allocation with Asymptotic Criteria

DOI10.1142/S0219024903002080zbMath1079.91034arXivmath/0304151OpenAlexW2098931619MaRDI QIDQ5696871

Slava Karguine

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0304151

zbMATH Keywords

stochastic controlrisk sensitive controldynamic portfolio selection

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Risk-sensitive dynamic asset management
• Strategic asset allocation
• Risk sensitive asset allocation
• Risk sensitive portfolio optimization
• Risk sensitive asset management with transaction costs
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• An Intertemporal Capital Asset Pricing Model

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