Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/content/pdf/10.1007/s10690-010-9136-y.pdf
Reference23 articles.
1. Bielecki T. R., Pliska S. R. (1999) Risk sensitive dynamic asset management. Applications in Mathematical Optimisation 39: 337–360
2. Bielecki T. R., Pliska S. R. (2004) Risk sensitive Intertemporal CAPM, with application to fixed-income management (special issue on stochastic control methods in financial engineering). IEEE Transactions on Automatic Control 49(3): 420–432
3. Bielecki T. R., Pliska S. R., Sherris M. (2000) Risk sensitive asset allocation. Journal of Economic Dynamics & Control 24: 1145–1177
4. Christensen, M. M. (2005). On the history of the growth optimal portfolio. Draft-version. http://www.gronnemosegaard.dk/Mortens%20hjemmeside/Forside/Skabelon.html .
5. Davis M. H. A., Lleo S. (2008) Risk-sensitive benchmarked asset management. Quantitative Finance 8(4): 415–426
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