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Risk-sensitive portfolio optimization with transaction costs
Bielecki, Tomasz R.; Chancelier, Jean-Philippe; Pliska, … - In: The journal of computational finance 8 (2004) 1, pp. 39-63
Persistent link: https://www.econbiz.de/10002390572
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Controlled storage processes
Morais, Paul Renato de; Pliska, Stanley R. - In: Applied stochastic control in econometrics and …, (pp. 181-202). 1980
Persistent link: https://www.econbiz.de/10002510705
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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/10002725425
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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/10001854468
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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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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001597059
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Optimal consumption and exploration of nonrenewable resources under uncertainty
Deshmukh, Sudhakar D.; Pliska, Stanley R. - In: Econometrica : journal of the Econometric Society, an … 48 (1980) 1, pp. 177-200
Persistent link: https://www.econbiz.de/10002068109
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Optimal consumption of a nonrenewable resource with stochastic discoveries and a random environment
Deshmukh, Sudhakar D.; Pliska, Stanley R. - In: The review of economic studies 50 (1983) 162, pp. 543-554
Persistent link: https://www.econbiz.de/10002068122
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A martingale characterization of the price of a nonrenewable resource with decisions involving uncertainty
Desmukh, Sudhakar D.; Pliska, Stanley R. - In: Journal of economic theory 35 (1985) 2, pp. 322-342
Persistent link: https://www.econbiz.de/10002069693
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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. 1-33
Persistent link: https://www.econbiz.de/10001486618