Asymptotics of the probability minimizing a "down-side" risk
Download full text from publisher
References listed on IDEAS
- Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2017. "Sharp Target Range Strategy for Multiperiod Portfolio Choice by Decensored Least Squares Monte Carlo," Papers 1704.00416, arXiv.org, revised Oct 2017.
- Ichihara, Naoyuki, 2012. "Large time asymptotic problems for optimal stochastic control with superlinear cost," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1248-1275.
- Hiroaki Hata, 2011. "“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 69-87, March.
- Huyen Pham, 2014. "Long time asymptotics for optimal investment," Papers 1408.6455, arXiv.org.
- Anatolii A. Puhalskii & Michael Jay Stutzer, 2016. "On minimising a portfolio's shortfall probability," Papers 1602.02192, arXiv.org, revised May 2017.
- 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, vol. 18(4), pages 385-403, November.
- Watanabe, Yûsuke, 2013. "Asymptotic analysis for a downside risk minimization problem under partial information," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1046-1082.
- Huyen Pham, 2014. "Long time asymptotics for optimal investment," Working Papers hal-01058657, HAL.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1001.2131. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .