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Economic Properties of the Risk Sensitive Criterion for Portfolio Management

Author

Listed:
  • Tomasz R. Bielecki
  • Stanley R. Pliska

Abstract

Keywords: Risk sensitive control, Optimal portfolios, Portfolio management

Suggested Citation

  • Tomasz R. Bielecki & Stanley R. Pliska, 2003. "Economic Properties of the Risk Sensitive Criterion for Portfolio Management," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 2(2), pages 3-17, February.
    • Handle: RePEc:eme:rafpps:eb027004
    DOI: 10.1108/eb027004
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    Citations

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    Cited by:

    1. Hanchao Liu & Dena Firoozi & Mich`ele Breton, 2023. "LQG Risk-Sensitive Single-Agent and Major-Minor Mean Field Game Systems: A Variational Framework," Papers 2305.15364, arXiv.org, revised Aug 2023.
    2. Marcin Pitera & Mikl'os R'asonyi, 2023. "Utility-based acceptability indices," Papers 2310.02014, arXiv.org.

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