Economic Properties of the Risk Sensitive Criterion for Portfolio Management

Review of Accounting and Finance

Volumn 2, Issue 2, 2003, Pages 3-17

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

^a NORTHEASTERN ILLINOIS UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Optimal portfolios; Portfolio management; Risk sensitive control

Indexed keywords

EID: 84993065035     PISSN: 14757702     EISSN: 17587700     Source Type: Journal    
DOI: 10.1108/eb027004     Document Type: Review

References (45)

1. Alexander G.J. and Francis, J.C. (1986) Portfolio Analysis, Prentice-Hall, Englewood Cliffs, NJ.
2. Artzner, P., Delbaen, R, Eber, J.M. and Heath, D. (1997) Thinking Coherently, RISK, 10(11), 68-71.
3. Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. (1999) Coherent Measures of Risk, Math. Finance, 9(3), 203-228.
4. Bagchi, A. and Kumar, K.S. (2002) Dynamic Asset Management: Risk Sensitive Criterion with Nonnegative Factors Constraints, Recent Developments in Mathematical Finance, edited by J. Yong, World Scientific, Singapore, 1-11.
5. Barron, E.N. and Jensen, R. (1989) Total risk aversion, stochastic optimal control and differential games, Appl. Math. Optimization, 19, 313-327.
6. Bielecki, T.R., Harris, A., Li, Z. and Pliska, S.R. (2001) Risk Sensitive Asset Management: Two Empirical Examples, Proceedings of the October, 2000, Conference on Mathematical Finance in Konstanz, Germany, edited by M. Kohlmann, Birkhauser, Basel, Switzerland, 99-110.
7. Bielecki, T. R., Hernandez-Hernandez, D. and Pliska S.R. (1999) Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management, Math. Meth. Oper. Res., 50,167-188.
8. Bielecki, T. R., Hernandez-Hernandez, D. and Pliska S.R. (2002) Risk sensitive Asset Management with Constrained Trading Strategies, Recent Developments in Mathematical Finance, edited by J. Yong, World Scientific, Singapore, 127-138.
9. Bielecki, T.R. and Pliska, S.R. (1999) Risk Sensitive Dynamic Asset Management, Appl. Math. Optim., 39., 337-360.
10. Bielecki, T. R. and Pliska, S.R. (2000) Risk-sensitive dynamic asset management in the presence of transaction costs, Finance and Stochastics, 4,1-33.
11. Bielecki, T.R. and Pliska, S.R. (2001) Risk Sensitive Control with Applications to Fixed Income Portfolio Management, Proceedings of the European Congress of Mathematics, Barcelona, July 10-14, 2000, edited by C. Casacuberta et al., Birkhauser, Basel, Switzerland, 331-345.
12. Bielecki, T.R. and Pliska, S.R. (2002) Risk Sensitive Intertemporal CAPM, with Applications to Fixed Income Portfolio Management, working paper, University of Illinois at Chicago.
13. Bielecki, T. R., Pliska, S. R. and M. Sherris (2000) Risk Sensitive Asset Allocation, Journal of Economic Dynamics and Control, 24, 1145-1177.
14. Billingsley, P. (1986) Probability and measure. John Wiley & Sons, New York, NY.
15. Delbaen, F., Grandits, P., Rheinlander, T., Samperi, D., Schweizer, M. and Strieker, C. (2002) Exponential Hedging and Entropic Penalties, Mathmatical Finance, 12, 99-123.
16. Dembo, A. and Zeitouni, O. (1998) Large Deviations Techniques and Applications. Springer, New York, NY.
17. Deuschel, J.D. and Stroock, D.W. (1989) Large Deviations. Academic Press, Boston, MA.
18. Donsker, M.D. and Varadhan, S.R.S. (1976) Asymptotic evaluation of certain Markov processes expectations for large time, Ill, Comm. Pure Appl. Math., 29, 389-461.
19. Dumas, B. and Luciano, E. (1991) An Exact Solution to a Dynamic Portfolio Choice Problem under Transaction Costs, Journal of Finance, XLVI, 577-595.
20. Dupuis, P. and Ellis, R.S. (1997) A Weak Convergence Approach to the Theory of Large Deviations. John Wiley & Sons, New York, NY.
21. Epstein, L. and Wang, T. (1994) Intertemporal asset pricing under Knightian uncertainty, Econometrica, 62, 283-322.
22. Fleming, W. H. and Sheu, S. J. (1998) Optimal long term growth rate of expected utility of wealth, Ann. Appl. Probab., 9, 871-903.
23. Fleming, W. H. and Sheu, S. J. (2000) Risk Sensitive Control and an Optimal Investment Model, Mathematical Finance, 10, 197-213.
24. Fleming W. H. and McEneaney W. M. (1995) Risk-sensitive control on an infinite time horizon, SIAM J. Control and Optimization, 33, 1881-1915.
25. Grossman, S.J. and Vila, J. (1992) Optimal Dynamic Trading with Leverage Constraints, J. of Financial and Quantitative Analysis, 27, 151-168.
26. Grossman, S.J. and Zhou, Z. (1993) Optimal Investment Strategies for Controlling Drawdowns, Mathematical Finance, 3, 241-276.
27. Hansen, L.P., Sargent, T.J., Turmuhambetova, G.A. and Williams, N. (2002) Robustness and Uncertainty Aversion, working paper, University of Chicago.
28. Karatzas, I. and Shreve, S. E. (1998) Methods of Mathematical Finance. Springer- Verlag, New York.
29. Korn, R. (1997) Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time, World Scientific, Singapore.
30. Kuroda, K. and Nagai, H. (2002) Risk-sensitive portfolio optimization on infinite time horizon, Stochastics and Stochastics Reports,73, 309-331.
31. Merton, R. C. (1971) Optimum consumption and portfolio rules in a continuous time model, J. Econ. Th., 3, 373-413.
32. Merton, R. C. (1973) An intertemporal capital asset pricing model, Econometrica, 41,866-887.
33. Merton, R. C. (1990) Continuous-Time Finance. Basil Blackwell, Cambridge, MA.
34. Merton, R.C. and Samuelson, P.A. (1974) Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods, J. Financial Economics, 1, 67-94.
35. Nagai, H. (2001) Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models, forthcoming SIAM J. Control and Optimization.
36. Nagai, H. and Peng, S. (2001) Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon, Annals Appl. Prob., 12, 1-23.
37. Pham, H. (2001) A Large Deviation Approach to Optimal Long Term Investment, forthcoming, Finance and Stochastics.
38. Pliska, S. R. (1986) A stochastic calculus model of continuous trading: optimal portfolios, Math. Operations Research, 11, 371-384.
39. Pratt, J.W. (1964) Risk Aversion in the Small and in the Large, Econometrica, 32, 122-136.
40. Samperi, D. (1998) Inverse Problems, Model Selection and Entropy in Derivative Security Pricing, Ph.D. Thesis, New York University.
41. Schroder, M. and Skiadas, C. (1999) Optimal consumption and portfolio selection with stochastic differential utility, Journal of Economic Theory, 89, 68-126.
42. Skiadas, C. (2002) Robust Control and Recursive Utility, working paper, Northwestern University.
43. Stutzer, M. (2000) A Portfolio Performance Index, Financial Analysts Journal, 56, 52-61.
44. Stutzer, M. (2001) Portfolio Choice with Endogenous Utility: a Large Deviations Approach, forthcoming, Journal of Econometrics.
45. Whittle P. (1990) Risk Sensitive Optimal Control. John Wiley & Sons, New York, NY.