This paper extends the risk-sensitive asset management theory developed by Bielecki and
Pliska and by Kuroda and Nagai to the case where the investor's objective is to outperform an …

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 management …

This paper considers a portfolio optimization problem in which asset prices are represented
by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are …

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 asset …

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 …

… Material in this chapter is based on Lleo and Ziemba (2016c) and (2017). Chapter 5 presents
other prediction models … The material in this chapter is based on Lleo and Ziemba (2012). …

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 allowing …

Expert forecasts are an essential component of asset management and an important research
topic. However, the effect of behavioral biases on expert forecasts is generally ignored. …

We extend the literature on crash prediction models in three main ways. First, we explicitly
relate crash prediction measures and asset pricing models. Second, we present a statistical …

1. Background The second author started using the bond stock earnings yield differential (BSEYD)
model while in Tokyo consulting at the Yamaichi Research Institute in 1988. The …