Risk-Sensitive Dynamic Asset Management

Article Properties
Journal Categories
Science
Mathematics
Technology
Technology (General)
Industrial engineering
Management engineering
Applied mathematics
Quantitative methods
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Citations
Title Journal Journal Categories Citations Publication Date
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation European Journal of Operational Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering
  • Technology: Engineering (General). Civil engineering (General)
 2024
Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty SSRN Electronic Journal 2024
A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications Mathematical Control and Related Fields
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2024
Risk‐sensitive large‐population linear‐quadratic‐Gaussian Games with major and minor agents

 Asian Journal of Control
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Mechanical engineering and machinery
  • Technology: Engineering (General). Civil engineering (General)
 1 2023
Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction Journal of Systems Science and Complexity
  • Science: Mathematics
  • Science: Mathematics
 2023
Citations Analysis
Category Category Repetition
Science: Mathematics88
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods48
Technology: Engineering (General). Civil engineering (General)42
Science: Mathematics: Probabilities. Mathematical statistics30
Technology: Mechanical engineering and machinery27
Technology: Manufactures: Production management. Operations management25
Social Sciences: Economic theory. Demography: Economics as a science24
Social Sciences: Commerce: Business20
Social Sciences: Finance19
Social Sciences: Statistics13
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics10
Technology: Technology (General): Industrial engineering. Management engineering6
Social Sciences: Commerce: Business: Personnel management. Employment management4
Social Sciences: Industries. Land use. Labor: Management. Industrial management3
Science: Mathematics: Instruments and machines: Electronic computers. Computer science3
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks3
Social Sciences: Commerce: Business: Accounting. Bookkeeping2
Science: Mathematics: Instruments and machines2
Technology: Technology (General): Industrial engineering. Management engineering: Information technology2
Technology: Chemical technology: Chemical engineering1
Science: Chemistry1
Technology: Mechanical engineering and machinery: Control engineering systems. Automatic machinery (General)1
The category Science: Mathematics 88 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Risk sensitive asset allocation and was published in 2000. The most recent citation comes from a 2024 study titled Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. This article reached its peak citation in 2010, with 13 citations. It has been cited in 62 different journals, 3% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 19 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year