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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Tomasz; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188
Persistent link: https://www.econbiz.de/10006626467
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Option valuation with co-integrated asset prices
Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754
Persistent link: https://www.econbiz.de/10006758832
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CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244
Persistent link: https://www.econbiz.de/10008214495
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Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10008217592
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Optimal trading of a security when there are taxes and transaction costs
Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-166
Persistent link: https://www.econbiz.de/10008218079
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Optimal Portfolio Management With Fixed Transaction Costs
Morton, Andrew J.; Pliska, Stanley R. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 337-356
Persistent link: https://www.econbiz.de/10008223456
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Optimal life insurance purchase and consumption-investment under uncertain lifetime
Pliska, Stanley R.; Ye, Jinchun - In: Journal of banking & finance 31 (2007) 5, pp. 1307-1320
Persistent link: https://www.econbiz.de/10007724986
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A three-factor valuation model for mortgage-backed securities (MBS)
Kariya, Takeaki; Ushiyama, Fumiaki; Pliska, Stanley R. - In: Managerial finance 37 (2011) 11, pp. 1068-1088
Persistent link: https://www.econbiz.de/10009330247
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Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1178
Persistent link: https://www.econbiz.de/10006777459