2 citations · 2 across the 2 of their papers we have counts for
3 papers
math.OC2015
Game-theoretic approach to risk-sensitive benchmarked asset management
Amogh Deshpande, Saul D. Jacka
In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a s…
math.OC2014★ 2 cited
Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to Financial optimization
Amogh Deshpande
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a suff…
q-fin.PM2014
On the role of Föllmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management
Amogh Deshpande
Kuroda and Nagai \cite{KN} state that the factor process in the Risk Sensitive control Asset Management (RSCAM) is stable under the Föllmer-Schweizer minimal martingale measure . F…