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Risk-Sensitive Investment Management

Author

Listed:
  • Mark H A Davis

    (Imperial College London, UK)

  • Sébastien Lleo

    (NEOMA Business School, France)

Abstract
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Mark H A Davis & Sébastien Lleo, 2014. "Risk-Sensitive Investment Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9026, December.
    • Handle: RePEc:wsi:wsbook:9026
    as

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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/9026
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
    3. Tomasz R. Bielecki & Igor Cialenco & Andrzej Ruszczy'nski, 2022. "Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty," Papers 2206.09235, arXiv.org.
    4. Marcin Pitera & {L}ukasz Stettner, 2022. "Discrete-time risk sensitive portfolio optimization with proportional transaction costs," Papers 2201.02828, arXiv.org.
    5. Dania Judith Aviles Acuña & Felisa Yaerim López Botello, 2023. "Modelo Gleen Doman para fortalecer el pensamiento matemático a través de la práctica docente," Revista de Desarrollo Sustentable, Negocios, Emprendimiento y Educación RILDODS, Servicios Académicos Intercontinentales SL, issue 40, february.
    6. Arvidsson, Björn & Johansson, Jonas & Guldåker, Nicklas, 2021. "Critical infrastructure, geographical information science and risk governance: A systematic cross-field review," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
    7. Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.
    8. Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
    9. Jan-Christian Gerlach & Jerome Kreuser & Didier Sornette, 2020. "Awareness of crash risk improves Kelly strategies in simulated financial time series," Papers 2004.09368, arXiv.org.
    10. Mark H.A. Davis & Sébastien Lleo, 2021. "Risk‐sensitive benchmarked asset management with expert forecasts," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1162-1189, October.
    11. E. Boguslavskaya & M. Boguslavsky & D. Muravey, 2020. "Trading multiple mean reversion," Papers 2009.09816, arXiv.org.
    12. Davis, Mark & Lleo, Sébastien, 2020. "Debiased expert forecasts in continuous-time asset allocation," Journal of Banking & Finance, Elsevier, vol. 113(C).
    13. T. N. Li & A. Papanicolaou, 2019. "Statistical Arbitrage for Multiple Co-Integrated Stocks," Papers 1908.02164, arXiv.org, revised Feb 2022.

    Book Chapters

    The following chapters of this book are listed in IDEAS

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