Search Results - subject:"Risk sensitive control"

On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

Lleo, Sébastien; Runggaldier, Wolfgang J. - In: European journal of operational research : EJOR 316 (2024) 1, pp. 200-214

Persistent link: https://www.econbiz.de/10014573970

On strategic measures and optimality properties in discrete-time stochastic control with universally measurable policies

Yu, Huizhen - In: Mathematics of operations research 49 (2024) 3, pp. 1734-1760

Persistent link: https://www.econbiz.de/10015047785

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659

Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes

Costa, Oswaldo Luiz do Valle; Dufour, François - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 327-357

Persistent link: https://www.econbiz.de/10012548532

Risk-sensitive asset management with lognormal interest rates

Hata, Hiroaki - In: Asia Pacific financial markets 28 (2021) 2, pp. 169-206

Persistent link: https://www.econbiz.de/10012542737

Long time asymptotics for optimal investment

Pham, Huyen - HAL - 2014

This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these...

Persistent link: https://www.econbiz.de/10010899292