Risk sensitive asset allocation

By Tomasz R. Bielecki, Stanley R. Pliska, Michael Sherris. 2000

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7dc988c8acec2f41c5e9007fd7278f7c075311c1

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In Economics and Econometrics

1. Weidong Tian
2. Phelim P. Boyle
3. Shuenn-Jyi Sheu
4. Wendell H. Fleming

In Finance

1. Weidong Tian
2. Phelim P. Boyle
3. Shuenn-Jyi Sheu
4. Wendell H. Fleming
5. Konstantinos Spiliopoulos

Citations in the corpus

• PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007, background): “Bielecki, Pliska, and Sherris (2000), Stutzer (2003), and Pham (2003) included a stochastic benchmark index.”
• Portfolio Choice with Endogenous Utility: A Large Deviations Approach (2003, unknown): “Another similarly motivated criterion for continuous time portfolio choice is developed in Bielecki et al. (2000), which will be discussed further in Section 2.2. The problem is exacerbated when investors have speci:c, short to medium term values for their respective investment horizons. If so, some”
• Risk‐Sensitive Control and an Optimal Investment Model (2000, methodology): “This model with σ = 0 has been studied in Bielecki et al. (1999).”