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Stochastics and Stochastic Reports Volume 73, 2002 - Issue 3-4
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Original Articles

Risk-sensitive portfolio optimization on infinite time horizon

Kazutaka Kuroda Actuarial Division 1-2-1, Daido Life Insurance Company, Edobori, Nishi-Ku, Osaka, 550-0002, Japan
&
Hideo Nagai Department of Mathematical Science, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan
Pages 309-331 | Published online: 29 Oct 2010

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Grzegorz Andruszkiewicz, Mark H. A. Davis & Sébastien Lleo. (2017) Risk-sensitive investment in a finite-factor model. Stochastics 89:1, pages 89-114.
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Mark Davis & Sébastien Lleo. (2013) Black–Litterman in continuous time: the case for filtering. Quantitative Finance Letters 1:1, pages 30-35.
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Hideo Nagai. (2011) Asymptotics of the probability of minimizing ‘down-side’ risk under partial information. Quantitative Finance 11:5, pages 789-803.
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Mark Davis & SÉBastien Lleo. (2008) Risk-sensitive benchmarked asset management. Quantitative Finance 8:4, pages 415-426.
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Articles from other publishers (60)

Daniel Hernández-Hernández & Pedro Salazar-Sánchez. (2023) Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior. SIAM Journal on Control and Optimization 61:3, pages 1136-1161.
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Hiroaki Hata. (2023) A long-term optimal consumption and investment problem with partial information. Mathematical Control and Related Fields 0:0, pages 0-0.
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Sebastien Lleo & Wolfgang J. Runggaldier. (2023) On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation. SSRN Electronic Journal.
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Mark Davis & Sébastien Lleo. (2022) Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. Annals of Operations Research.
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Xiaodong Chen, Tim Leung & Yang Zhou. (2021) Constrained dynamic futures portfolios with stochastic basis. Annals of Finance 18:1, pages 1-33.
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Paolo Guasoni, Lóránt Nagy & Miklós Rásonyi. (2021) Young, timid, and risk takers. Mathematical Finance 31:4, pages 1332-1356.
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Hideo Nagai. 2021. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1879 1885 .
Mark Davis & Sébastien Lleo. (2020) Debiased expert forecasts in continuous-time asset allocation. Journal of Banking & Finance 113, pages 105759.
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Hiroaki Hata. (2019) Optimal investment-consumption-insurance with partial information. Japan Journal of Industrial and Applied Mathematics 37:1, pages 309-338.
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Anatolii A. Puhalskii. (2017) On Long Term Investment Optimality. Applied Mathematics & Optimization 80:1, pages 1-62.
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Hideo Nagai. 2019. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1 7 .
Hiroaki Hata, Hideo Nagai & Shuenn-Jyi Sheu. (2018) An Optimal Consumption Problem for General Factor Models. SIAM Journal on Control and Optimization 56:5, pages 3149-3183.
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Hiroaki Hata. (2017) Risk-sensitive asset management in a general diffusion factor model: risk-seeking case. Japan Journal of Industrial and Applied Mathematics 34:1, pages 59-98.
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Scott Robertson & Hao Xing. (2017) Long-Term Optimal Investment in Matrix Valued Factor Models. SIAM Journal on Financial Mathematics 8:1, pages 400-434.
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Mark H.A. Davis & Sébastien Lleo. (2016) A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance. The Journal of Portfolio Management 42:4, pages 49-58.
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Amogh Deshpande. (2016) On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management. Journal of Applied Probability 52:3, pages 703-717.
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Amogh Deshpande. (2016) On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management. Journal of Applied Probability 52:03, pages 703-717.
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Mark H. A. Davis & Sébastien Lleo. (2014) Jump-diffusion asset–liability management via risk-sensitive control. OR Spectrum 37:3, pages 655-675.
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Scott Robertson & Hao Xing. (2015) Large Time Behavior of Solutions to SemiLinear Equations with Quadratic Growth in the Gradient. SIAM Journal on Control and Optimization 53:1, pages 185-212.
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Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 209 244 .
Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 153 207 .
Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 117 151 .
Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 79 115 .
Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 31 78 .
Makiko NisioMakiko Nisio. 2015. Stochastic Control Theory. Stochastic Control Theory 1 30 .
Paresh Date & Bujar Gashi. (2012) Generalised Risk-Sensitive Control with Full and Partial State Observation. Journal of Mathematical Modelling and Algorithms in Operations Research 13:1, pages 87-101.
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Hideo Nagai. 2013. Encyclopedia of Systems and Control. Encyclopedia of Systems and Control 1 9 .
Paresh Date & Bujar Gashi. (2013) Risk-sensitive control for a class of nonlinear systems with multiplicative noise. Systems & Control Letters 62:10, pages 988-999.
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Hiroaki Hata & Jun Sekine. (2013) Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model. Journal of Mathematical Finance 03:01, pages 222-229.
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Jun Sekine. (2013) Long-Term Optimal Investment with a Generalized Drawdown Constraint. SIAM Journal on Financial Mathematics 4:1, pages 452-473.
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Mark Davis & Sébastien Lleo. (2013) Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. SIAM Journal on Control and Optimization 51:2, pages 1441-1480.
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Jun Sekine. (2012) Long-term optimal portfolios with floor. Finance and Stochastics 16:3, pages 369-401.
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Hideo Nagai. (2012) Downside risk minimization via a large deviations approach. The Annals of Applied Probability 22:2.
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Paolo Guasoni & Scott Robertson. (2012) Portfolios and risk premia for the long run. The Annals of Applied Probability 22:1.
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Thomas Knispel. (2012) Asymptotics of robust utility maximization. The Annals of Applied Probability 22:1.
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Hiroaki Hata & Shuenn-Jyi Sheu. (2012) On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: II. Verification Theorem. SIAM Journal on Control and Optimization 50:4, pages 2401-2430.
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Hiroaki Hata & Shuenn-Jyi Sheu. (2012) On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution. SIAM Journal on Control and Optimization 50:4, pages 2373-2400.
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Tadashi Hayashi & Jun Sekine. (2010) Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect. Asia-Pacific Financial Markets 18:4, pages 385-403.
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Tadashi Hayashi. (2011) Risk-Sensitive Portfolio Optimization and Its Applications. Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2011:0, pages 127-133.
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Mark Davis & Sébastien Lleo. (2011) Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM Journal on Financial Mathematics 2:1, pages 22-54.
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Hiroaki Hata & Jun Sekine. (2010) Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem. Applied Mathematics & Optimization 62:3, pages 341-380.
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Hideo Nagai. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Hans Föllmer & Martin Schweizer. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Hiroaki Hata, Hideo Nagai & Shuenn-Jyi Sheu. (2010) Asymptotics of the probability minimizing a “down-side” risk. The Annals of Applied Probability 20:1.
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YINGDONG LV & BERNHARD K. MEISTER. (2011) IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES. International Journal of Theoretical and Applied Finance 13:01, pages 93-112.
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Jun Sekine. (2016) A note on long-term optimal portfolios under drawdown constraints. Advances in Applied Probability 38:3, pages 673-692.
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Hiroaki Hata & Yasunari Iida. (2006) A risk-sensitive stochastic control approach to an optimal investment problem with partial information. Finance and Stochastics 10:3, pages 395-426.
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Hiroaki Hata & Jun Sekine. 2006. Advances in Mathematical Economics. Advances in Mathematical Economics 231 255 .
Tomasz R. Bielecki, Stanley R. Pliska & Shuenn-Jyi Sheu. (2005) Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation. SIAM Journal on Control and Optimization 44:5, pages 1811-1843.
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T.R. Bielecki & S.R. Pliska. (2004) Risk-Sensitive ICAPM With Application to Fixed-Income Management. IEEE Transactions on Automatic Control 49:3, pages 420-432.
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N. El-Karoui & S. Hamadène. (2003) BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Stochastic Processes and their Applications 107:1, pages 145-169.
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Tomasz R. Bielecki & Stanley R. Pliska. (2003) Economic Properties of the Risk Sensitive Criterion for Portfolio Management. Review of Accounting and Finance 2:2, pages 3-17.
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Hideo Nagai. (2003) Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models. SIAM Journal on Control and Optimization 41:6, pages 1779-1800.
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W. H. Fleming & S. J. Sheu. (2002) Risk-sensitive control and an optimal investment model II. The Annals of Applied Probability 12:2.
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Hideo Nagai & Shige Peng. (2002) Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon. The Annals of Applied Probability 12:1.
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Mark Davis & Sebastien Lleo. (2021) Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data. SSRN Electronic Journal.
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Paolo Guasoni, Miklos Rasonyi & Lóránt Nagy. (2020) Young, Timid, and Risk Takers. SSRN Electronic Journal.
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Mark Davis & Sebastien Lleo. (2015) Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion Setting. SSRN Electronic Journal.
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Grzegorz Andruszkiewicz, Mark Davis & Sebastien Lleo. (2014) Risk-Sensitive Investment in a Market with Animal Spirits. SSRN Electronic Journal.
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Mark Davis & Sebastien Lleo. (2013) Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control. SSRN Electronic Journal.
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