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Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
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Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001486618
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Dynamic coherent acceptability indices and their applications to finance
Bielecki, Tomasz R.; Cialenco, Igor; Zhang, Zhao - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 411-441
Persistent link: https://www.econbiz.de/10010484294
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A dynamic model of central counterparty risk
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268
Persistent link: https://www.econbiz.de/10014423851