2 papers
math.OC2016
Nonzero-Sum Risk Sensitive Stochastic Games for Continuous Time Markov Chains
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal
We study nonzero-sum stochastic games for continuous time Markov chains on a denumerable state space with risk sensitive discounted and ergodic cost criteria. For the discounted co…
q-fin.PM2007
A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities
Mayank Goel, K. Suresh Kumar
We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can includ…