Risk‐Sensitive Control and an Optimal Investment Model

By Wendell H. Fleming, Shuenn-Jyi Sheu. 2000

223 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3b5e73a66b4a38c0ff16f3d3740b403c9d1ac617

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Citations in the corpus

On some recent aspects of stochastic control and their applications (2005, unknown): “tive control on inﬁnite horizon. Ergodic and risksensitive control problems were studied in [51], [11] or [38]. Risk-sensitive control problems were recently applied in a ﬁnancial context in [12] and [40]. Anothercriterion based on thelarge deviations behaviorof theergodic system: P[XT /T] ≃ e−I(c)T”
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2011, background): “Quadratic BSDEs have recently received a lot of attention, mainly due to the wide range of possible applications, involving optimization problems with an exponential criterion, such as risk-sensitive control problems introduced by Fleming in the 1980s (see Fleming & Sheu [21] for financial applicati”
Portfolios and risk premia for the long run. (2012, unknown): “4 Fleming and McEneaney (1995), Nagai (1996, 2003), Bielecki and Pliska (1999, 2000), Fleming and Sheu (2000, 2002), Kuroda and Nagai (2002) and Nagai and Peng (2002), Hata and Sekine (2005), Kaise and Sheu (2004, 2006).”
Controlled diffusion processes (2005, background): “See [70], [71], [105] for a perspective and [49], [58], [68] for a sample of recent contributions.”
ON THE STRUCTURE OF SOLUTIONS OF ERGODIC TYPE BELLMAN EQUATION RELATED TO RISK-SENSITIVE CONTROL (2006, background): “ paper we shall study the solutions of (1.1) in the case that ˆa is positive-deﬁnite. Recently, it has also become known that this case happens in some investment problems in mathematical ﬁnance (cf. [3, 8, 11, 12, 21]). However, we remark that, unlike these papers, the veriﬁcation theorem will not ”
Risk-averse dynamic programming for Markov decision processes (2010, background): “Models with risk aversion were, so far, represented by separable utility functions; see, among others, [9,12,13,23,24] and the references therein.”
Robust Preferences and Robust Portfolio Choice (2009, methodology): “We refer to Chapter 4 of FÖLLMER and SCHIED [2004] for a more comprehensive account.”
A free energy principle for a particular physics (2019, background): “ence between predicted external states, given the sensory and active (control) states and some desired states (Kappen, 2005; Kappen et al., 2012). In economics, this is called risk-sensitive control (Fleming and Sheu, 2002; van den Broek et al., 2010). In Bayesian statistics, the complexity scores t”
Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002, background): “Since their works there have been several works [4, 10, 11, 13] improving the independence condition assumed in [3].”