Risk-Sensitive ICAPM With Application to Fixed-Income Management

IEEE Transactions on Automatic Control

Volumn 49, Issue 3, 2004, Pages 420-432

  Bielecki, Tomasz R ^a   Pliska, Stanley R ^b  

^a Illinois Institute of Technology   (United States)

^b UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Fixed income management; Intertemporal capital asset pricing model; Optimal portfolios; Risk sensitive control

Indexed keywords

DECISION MAKING; RANDOM PROCESSES; RISK ASSESSMENT; THEOREM PROVING;

FIXED INCOME MANAGEMENT; INTERTEMPORAL CAPITAL ASSET PRICING MODEL; OPTIMAL PORTFOLIOS; RISK SENSITIVE CONTROL;

CONTROL THEORY;

EID: 1842534536     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2004.824470     Document Type: Article

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