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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

Bielecki, Thomas; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188

Persistent link: https://www.econbiz.de/10001428073

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

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

Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond

Bielecki, Tomasz R.; Pliska, Stanley R.; Yong, Jiongmin - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 871-914

Persistent link: https://www.econbiz.de/10003206520

Continuous-time-mean-variance portfolio selection with bankruptcy prohibition

Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244

Persistent link: https://www.econbiz.de/10002725425

Robust maximization of consumption with logarithmic utility

Hernández-Hernández, Daniel; Schied, Alexander - 2007

We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk measure. The underlying market is modeled by a diffusion...

Persistent link: https://www.econbiz.de/10010263687