Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon

By H. Nagai, Shige Peng. 2002

111 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9c4b61819b0c1a29454247491720992777e179b6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mark H. A. Davis
2. Sébastien Lleo

In Economics and Econometrics

1. Mark H. A. Davis
2. Sébastien Lleo
3. Fred Espen Benth
4. David Hobson *
5. Vicky Henderson
6. J. Šaltytė Benth
7. Atsushi Takeuchi

In Finance

1. Mark H. A. Davis
2. Sébastien Lleo
3. Fred Espen Benth
4. David Hobson *
5. Vicky Henderson
6. J. Šaltytė Benth
7. Atsushi Takeuchi

Citations in the corpus

• Portfolios and risk premia for the long run. (2012, unknown): “A series of papers by Bielecki and Pliska (1999; 2000), Fleming and Sheu (2000; 2002), Kuroda and Nagai (2002) and Nagai and Peng (2002) explores the similar criterion of risk-sensistive control in the context of linear difiusions.”
• Risk-sensitive benchmarked asset management (2008, background): “Our work is also indirectly related to Platen and Heath’s (2006) ‘benchmarked approach’ to valuation, risk management and asset management.”