We introduce a risk‐sensitive generalization of the mixed H 2/H∞ H _2/H _ ∞ control
problem for linear stochastic systems with additive noise. Two criteria of exponential …

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 …

The Kelly criterion and fractional Kelly strategies hold an important place in investment
management theory and practice. Both the Kelly criterion and fractional Kelly strategies, eg …

We consider a risk-sensitive control problem with indefinite cost matrices. All solutions to
such an optimal control problem are obtained in an explicit closed-form by the completion of …

In this article, we extend the Black–Litterman approach to a continuous time setting. We
model analyst views jointly with asset prices to estimate the unobservable factors driving …

We propose a continuous‐time model in which investors use expert forecasts to construct a
benchmark‐outperforming portfolio in two steps. The estimation step takes the form of a …

In this article we extend our earlier work on the jump-diffusion risk-sensitive asset
management problem in a factor model [SIAM J. Financial Math., 2 (2011), pp. 22--54] by …

This paper studies large‐population dynamic games involving a linear‐quadratic‐Gaussian
(LQG) system with an exponential cost functional. The parameter in the cost functional can …

This article is concerned with a risk-sensitive stochastic optimal control problem motivated
by a kind of optimal portfolio choice problem in the financial market. The maximum principle …

In this paper, we consider the problem of optimal control for a class of nonlinear stochastic
systems with multiplicative noise. The nonlinearity consists of quadratic terms in the state …