Risk-Sensitive Control and an Optimal Investment Model
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References listed on IDEAS
- Rheinländer, Thorsten & Schweizer, Martin, 1997. "On L2-projections on a space of stochastic integrals," SFB 373 Discussion Papers 1997,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, pages 385-413.
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- Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
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- Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
- Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
- Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
- Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
- Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
- Jan Palczewski & Lukasz Stettner, 2007. "Growth-optimal portfolios under transaction costs," Papers 0707.3198, arXiv.org.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, pages 49-66.
- Tadashi Hayashi & Jun Sekine, 2011. "Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, pages 385-403.
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- Akihiko Inoue & Yumiharu Nakano, 2005. "Optimal long term investment model with memory," Papers math/0506621, arXiv.org, revised May 2006.
- Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2013. "Dynamic Limit Growth Indices in Discrete Time," Papers 1312.1006, arXiv.org, revised Jul 2014.
- Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.
- Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
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