Stanley R. Pliska - researchr alias

researchr

You are not signed in
Sign in
Sign up

Viewing Publication 1 - 11 from 11

2005

Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB EquationTomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu. siamco, 44(5):1811-1843, 2005. [doi]

2004

Risk-sensitive ICAPM with application to fixed-income managementTomasz R. Bielecki, Stanley R. Pliska. tac, 49(3):420-432, 2004. [doi]

2003

Continuous-time mean-variance portfolio choice with no-bankruptcy constraintTomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou. cdc 2003: 5945-5950 [doi]

2000

Risk sensitive asset management with transaction costsTomasz R. Bielecki, Stanley R. Pliska. fs, 4(1):1-33, 2000. [doi]

1999

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio managementTomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska. mmor, 50(2):167-188, 1999. [doi]

Optimal trading of a security when there are taxes and transaction costsAbel Cadenillas, Stanley R. Pliska. fs, 3(2):137-165, 1999. [doi]

1993

Optimal portfolios with asymptotic criteriaHiroshi Konno, Stanley R. Pliska, Ken-ichi Suzuki. anor, 45(1):187-204, 1993. [doi]

1991

Optimal Scheduling of Inspections: A Delayed Markov Model with False Positives and NegativesSüleyman Özekici, Stanley R. Pliska. ior, 39(2):261-273, 1991. [doi]

1986

A Stochastic Calculus Model of Continuous Trading: Optimal PortfoliosStanley R. Pliska. mor, 11(2):371-382, 1986. [doi]

1980

Accretive Operators and Markov Decision ProcessesStanley R. Pliska. mor, 5(3):444-459, 1980. [doi]

1977

G/1 Queues with FeedbackDong-wan Tcha, Stanley R. Pliska. ior, 25(2):248-258, 1977. [doi]

Sign in or sign up to see more results.

runs on WebDSL