In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...

This paper develops a continuous time risk-sensitive portfolio optimization model with a general transaction cost structure and where the individual securities or asset categories are explicitly affected by underlying economic factors. The security prices and factors follow diffusion processes...