SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

Mathematical Methods of Operations Research

Volumn 50, Issue 2, 1999, Pages 167-188

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

(3) Bielecki, Tomasz a Hernández Hernández, Daniel b Pliska, Stanley R c

a NORTHEASTERN ILLINOIS UNIVERSITY (United States)

b DEPARTAMENTO DE FÍSICA (Mexico)

c UNIVERSITY OF ILLINOIS AT CHICAGO (United States)

Author keywords

Factor modeling; Portfolio optimization; Risk sensitive Markov decision processes

Indexed keywords

EID: 0001177402 PISSN: 14322994 EISSN: None Source Type: Journal
DOI: 10.1007/s001860050094 Document Type: Article

Times cited : (70)

References (20)

1
- 0347484718
- preprint
- Balaji S, Borkar VS, Meyn SP (1999) Multiplicative ergodicity for an irreducible Markov chain, preprint
- (1999) Multiplicative Ergodicity for an Irreducible Markov Chain
- Balaji, S.¹ Borkar, V.S.² Meyn, S.P.³

2
- 0346223737
- preprint
- Balaji S, Meyn SP (1999) Risk sensitive dynamic programming with unbounded cost. preprint
- (1999) Risk Sensitive Dynamic Programming with Unbounded Cost
- Balaji, S.¹ Meyn, S.P.²

3
- 0001621338
- On Bellman equations of ergodic control in R″
- Bensoussan A, Frehse J (1992) On Bellman equations of ergodic control in R″. J Reine Angew Math 429:125-160
- (1992) J Reine Angew Math , vol.429 , pp. 125-160
- Bensoussan, A.¹ Frehse, J.²

4
- 0033130828
- Risk sensitive dynamic asset management
- Bielecki TR, Pliska SR (1999) Risk sensitive dynamic asset management. Appl. Math. Optim. 39:337-360
- (1999) Appl. Math. Optim. , vol.39 , pp. 337-360
- Bielecki, T.R.¹ Pliska, S.R.²

5
- 0001109804
- Risk-sensitive dynamic asset management in the presence of transaction costs
- forthcoming
- Bielecki TR, Pliska SR (1998) Risk-sensitive dynamic asset management in the presence of transaction costs. Finance & Stochastics, forthcoming
- (1998) Finance & Stochastics
- Bielecki, T.R.¹ Pliska, S.R.²

6
- 0039566468
- Risk sensitive asset allocation
- forthcoming
- Bielecki TR, Pliska SR, Sherris M (1998) Risk sensitive asset allocation. Journal of Economic Dynamics and Control, forthcoming
- (1998) Journal of Economic Dynamics and Control
- Bielecki, T.R.¹ Pliska, S.R.² Sherris, M.³

7
- 0346854244
- unpublished manuscript
- Bielecki TR, Pliska SR (1998) Investing coherently: Risk-Sensitive vs value-at-risk approach. unpublished manuscript
- (1998) Investing Coherently: Risk-Sensitive vs Value-at-risk Approach
- Bielecki, T.R.¹ Pliska, S.R.²

8
- 0347484707
- Risk sensitive control of discrete time Markov processes with infinite horizon
- forthcoming
- Di Masi GB, Stettner L (1997) Risk sensitive control of discrete time Markov processes with infinite horizon. SIAM J. Control Optim, forthcoming
- (1997) SIAM J. Control Optim
- Di Masi, G.B.¹ Stettner, L.²

9
- 0031233725
- Risk sensitive control of finite state machines on an infinite horizon I
- Fleming WH, Hernández-Hernández D (1997) Risk sensitive control of finite state machines on an infinite horizon I. SIAM J. Control Optim. 35:1790-1810
- (1997) SIAM J. Control Optim. , vol.35 , pp. 1790-1810
- Fleming, W.H.¹ Hernández-Hernández, D.²

10
- 0030291522
- Risk sensitive control of Markov processes in countable state space
- Corrigendum (1998), vol. 34:105-106
- Hernández-Hernández D, Marcus SI (1996) Risk sensitive control of Markov processes in countable state space. Systems & Control Letters 29:147-155, Corrigendum (1998), vol. 34:105-106
- (1996) Systems & Control Letters , vol.29 , pp. 147-155
- Hernández-Hernández, D.¹ Marcus, S.I.²

11
- 85034560840
- working paper
- Hernández-Hernández D, Marcus SI (1997) Existence of risk sensitive optimal stationary policies for controlled Markov processes, working paper
- (1997) Existence of Risk Sensitive Optimal Stationary Policies for Controlled Markov Processes
- Hernández-Hernández, D.¹ Marcus, S.I.²

12
- 0003952172
- Springer-Verlag, New York
- Hernández-Lerma O (1989) Adaptive Markov control processes. Springer-Verlag, New York
- (1989) Adaptive Markov Control Processes
- Hernández-Lerma, O.¹

13
- 0001738730
- An intertemporal capital asset pricing model
- Merton RC (1973) An intertemporal capital asset pricing model. Econometrica 41:866-887
- (1973) Econometrica , vol.41 , pp. 866-887
- Merton, R.C.¹

14
- 84958363567
- Modeling asset returns with alternative stable distributions
- Mittnik S, Rachev ST (1993) Modeling asset returns with alternative stable distributions. Econometric Review 12:261-330
- (1993) Econometric Review , vol.12 , pp. 261-330
- Mittnik, S.¹ Rachev, S.T.²

15
- 70350656348
- Financial applications of stable distributions
- Statistical Methods in Finance, Elsevier Science
- McCulloch JH (1996) Financial applications of stable distributions. In: Statistical Methods in Finance (Handbook of Statistics, vol. 14), Elsevier Science
- (1996) Handbook of Statistics , vol.14
- McCulloch, J.H.¹

16
- 0029778591
- Bellman equations of risk-sensitive control
- Nagai H (1996) Bellman equations of risk-sensitive control. SIAM J Control & Optimization 34:74-101
- (1996) SIAM J Control & Optimization , vol.34 , pp. 74-101
- Nagai, H.¹

17
- 84993877356
- Predictability of stock returns: Robustness and economic significance
- Pesaran MH, Timmermann A (1995) Predictability of stock returns: robustness and economic significance. J Finance 50:1201-1228
- (1995) J Finance , vol.50 , pp. 1201-1228
- Pesaran, M.H.¹ Timmermann, A.²

18
- 0003827430
- John Wiley & Sons
- Peters EE (1997) Fractal market analysis. 2nd ed., John Wiley & Sons
- (1997) Fractal Market Analysis. 2nd Ed.
- Peters, E.E.¹

19
- 0003570325
- Springer-Verlag, New York
- Seneta E (1973) Non-negative matrices and Markov Chains. Springer-Verlag, New York
- (1973) Non-negative Matrices and Markov Chains
- Seneta, E.¹

20
- 0003502787
- John Wiley, New York
- Whittle P (1990) Risk sensitive optimal control. John Wiley, New York
- (1990) Risk Sensitive Optimal Control
- Whittle, P.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.