Risk sensitive asset allocation

Journal of Economic Dynamics and Control

Volumn 24, Issue 8, 2000, Pages 1145-1177

  Bielecki, Tomasz R ^a   Pliska, Stanley R ^b   Sherris, Michael ^c  

^a NORTHEASTERN ILLINOIS UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

C63; G11; H20; Optimal asset allocation; Risk sensitive control

Indexed keywords

EID: 0034215286     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(99)00017-2     Document Type: Article

References (32)

1. Bank, B., Guddat, J., Klatte, D., Kummer, B., Tammer, K., 1983. Non-Linear Parametric Optimization. Birkhauser, Basel.
2. Bielecki T.R., Pliska S.R. Risk sensitive dynamic asset management. Journal of Applied Mathematics and Optimization. 39:1999;337-360.
3. Brandt, M.W., 1998. Estimating portfolio and consumption choice: a conditional Euler equations approach. Working Paper. The Wharton School, University of Pennsylvania.
4. Breeden D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics. 7:1979;265-296.
5. Brennan, M.J., Schwartz, E.S., 1996. The use of treasury bill futures in strategic asset allocation programs. IFA Working Paper 229-1996. London Business School.
6. Brennan M.J., Schwartz E.S., Lagnado R. Strategic asset allocation. Journal of Economic Dynamics and Control. 21:1997;1377-1403.
7. Campbell, J.Y., Viceira, L.M., 1999. Consumption and portfolio decisions when expected returns are time varying. Quarterly Journal of Economics 14(2) (May 1999) 433-495.
8. Canestrelli, E., 1998. Applications of multidimensional stochastic processes to financial investments. Working Paper. Dipartimento di Matematica Applicata ed Informatica, Universita 'Ca' Foscari' di Venezia.
9. Canestrelli, E., Pontini, S., 1998. Inquiries on the applications of multidimensional stochastic processes to financial investments. Working Paper. Dipartimento di Matematica Applicata ed Informatica, Universita 'Ca' Foscari' di Venezia.
10. Carino, D.R., 1987. Multiperiod security markets with diversely informed agents. Ph.D. dissertation, Stanford University.
11. Cox J.C., Ingersoll J., Ross S.A. An intertemporal general equilibrium model of asset prices. Econometrica. 36:1985;363-384.
12. Cvitanic, J., Karatzas, I., 1994. On portfolio optimization under 'drawdown' constraints, IMA Preprint No. 1224, University of Minnesota.
13. Fleming, W.H., 1995. Optimal investment models and risk sensitive stochastic control. In: Davis, M., et al. (Eds.), Mathematical Finance. Springer, New York, pp. 75-88.
14. Grossman S.J., Zhou Z. Optimal investment strategies for controlling drawdowns. Mathematical Finance. 3:1993;241-276.
15. Ilmanen, A., 1997. Forecasting U.S. bond returns. The Journal of Fixed Income, June, 22-37.
16. Kandel S., Stambaugh R.F. On the predictability of stock returns: an asset allocation perspective. The Journal of Finance. 51:1996;385-424.
17. Karatzas, I., 1996, Lectures on the Mathematics of Finance. American Mathematical Society, Providence, RI.
18. Karatzas I., Kou S.G. On the pricing of contingent claims under constraints. Annals of Applied Probability. 6:1996;321-369.
19. Kim T.S., Omberg E. Dynamic nonmyopic portfolio behavior. The Review of Financial Studies. 9:1996;141-161.
20. Konno H., Pliska S.R., Suzuki K.I. Optimal portfolios with asymptotic criteria. Annals of Operations Research. 45:1993;184-204.
21. Korn, R., 1997. Optimal Portfolios. World Scientific, Singapore.
22. Lefebvre M., Montulet P. Risk sensitive optimal investment policy. International Journal of Systems Science. 22:1994;183-192.
23. Lucas R.E. Asset prices in an exchange economy. Econometrica. 46:1978;1429-1445.
24. Magill, M., Quinzii, M., 1996. Theory of Incomplete Markets. The MIT Press, Cambridge, MA.
25. Merton R.C. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory. 3:1971;373-413.
26. Merton R.C. An intertemporal capital asset pricing model. Econometrica. 41:1973;866-887.
27. Patelis A.D. Stock return predictability and the role of monetary policy. The Journal of Finance. 52:1997;1951-1972.
28. Pesaran M.H., Timmermann A. Predictability of stock returns: robustness and economic significance. The Journal of Finance. 50:1995;1201-1228.
29. Pesaran, M.H., Timmermann, A., 1998. A recursive modelling approach to predicting UK stock returns. Working Paper. Trinity College, Cambridge.
30. Pliska S.R. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research. 11:1986;371-384.
31. Pliska, S.R., 1997. Introduction to Mathematical Finance: Discrete Time Models. Blackwell, Oxford.
32. Whittle, P., 1990. Risk Sensitive Optimal Control. Wiley, New York.