Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation.
Tomasz R. BieleckiStanley R. PliskaShuenn-Jyi SheuPublished in: SIAM J. Control. Optim. (2005)
Keyphrases
- optimal control
- risk sensitive
- portfolio management
- hamilton jacobi bellman
- control problems
- dynamic programming
- portfolio selection
- portfolio optimization
- financial data
- stochastic control
- control strategy
- transaction costs
- infinite horizon
- decision making
- factor analysis
- reinforcement learning
- control law
- average cost
- stock market
- mathematical model
- control system
- optimal solution