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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. 1307-1319
Persistent link: https://www.econbiz.de/10003461160
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
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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. 1145-1177
Persistent link: https://www.econbiz.de/10001474593