Risk-Sensitive Dynamic Asset Management

Applied Mathematics and Optimization

Volumn 39, Issue 2-3, 1999, Pages 337-360

  Bielecki, T R ^a   Pliska, S R ^b  

^a NORTHEASTERN ILLINOIS UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Incomplete markets; Large deviations; Optimal portfolio selection; Risk sensitive stochastic control

Indexed keywords

CONSTRAINT THEORY; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; PARTIAL DIFFERENTIAL EQUATIONS; RESOURCE ALLOCATION; RISK ASSESSMENT; RISK MANAGEMENT; STOCHASTIC CONTROL SYSTEMS;

RISK-SENSITIVE DYNAMIC ASSET MANAGEMENT;

OPTIMIZATION;

EID: 0033130828     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s002459900110     Document Type: Article

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