{"id":"https://openalex.org/W1971750590","doi":"https://doi.org/10.1137/s0363012903437952","title":"Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation","display_name":"Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation","publication_year":2005,"publication_date":"2005-01-01","ids":{"openalex":"https://openalex.org/W1971750590","doi":"https://doi.org/10.1137/s0363012903437952","mag":"1971750590"},"language":"en","primary_location":{"id":"doi:10.1137/s0363012903437952","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0363012903437952","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070487421","display_name":"Tomasz R. Bielecki","orcid":"https://orcid.org/0000-0001-6623-1504"},"institutions":[{"id":"https://openalex.org/I27639287","display_name":"Northeastern Illinois University","ror":"https://ror.org/04edns687","country_code":"US","type":"education","lineage":["https://openalex.org/I27639287"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Tomasz R. Bielecki","raw_affiliation_strings":["Northeastern Illinois University,"],"affiliations":[{"raw_affiliation_string":"Northeastern Illinois University,","institution_ids":["https://openalex.org/I27639287"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033320493","display_name":"Stanley R. Pliska","orcid":"https://orcid.org/0000-0001-8656-6221"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stanley R. Pliska","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5007752209","display_name":"Shuenn\u2010Jyi Sheu","orcid":"https://orcid.org/0000-0001-9605-5599"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Shuenn-Jyi Sheu","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5070487421"],"corresponding_institution_ids":["https://openalex.org/I27639287"],"apc_list":null,"apc_paid":null,"fwci":1.7053,"has_fulltext":false,"cited_by_count":42,"citation_normalized_percentile":{"value":0.86142439,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"44","issue":"5","first_page":"1811","last_page":"1843"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9900000095367432,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9868000149726868,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.7081699967384338},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6395127177238464},{"id":"https://openalex.org/keywords/cox\u2013ingersoll\u2013ross-model","display_name":"Cox\u2013Ingersoll\u2013Ross model","score":0.5885007381439209},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.5501523613929749},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5304175019264221},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.49364933371543884},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.45792800188064575},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4544253349304199},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.4347987771034241},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.42088431119918823},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4179914593696594},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3746461272239685},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.36411136388778687},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.18744909763336182},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1833035945892334},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1694566011428833},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15175971388816833},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.09021025896072388}],"concepts":[{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.7081699967384338},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6395127177238464},{"id":"https://openalex.org/C151205565","wikidata":"https://www.wikidata.org/wiki/Q4385634","display_name":"Cox\u2013Ingersoll\u2013Ross model","level":3,"score":0.5885007381439209},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.5501523613929749},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5304175019264221},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.49364933371543884},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.45792800188064575},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4544253349304199},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4347987771034241},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.42088431119918823},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4179914593696594},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3746461272239685},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.36411136388778687},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.18744909763336182},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1833035945892334},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1694566011428833},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15175971388816833},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.09021025896072388},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/s0363012903437952","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0363012903437952","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions","score":0.7699999809265137}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W140390169","https://openalex.org/W945713358","https://openalex.org/W1510523231","https://openalex.org/W1589395967","https://openalex.org/W1970973540","https://openalex.org/W1977216005","https://openalex.org/W1979086582","https://openalex.org/W1981318801","https://openalex.org/W1997640190","https://openalex.org/W2000196006","https://openalex.org/W2005158847","https://openalex.org/W2010317343","https://openalex.org/W2012131330","https://openalex.org/W2013530375","https://openalex.org/W2017588143","https://openalex.org/W2022729976","https://openalex.org/W2042775870","https://openalex.org/W2044793768","https://openalex.org/W2052626772","https://openalex.org/W2082304159","https://openalex.org/W2134807435","https://openalex.org/W2153579122","https://openalex.org/W2319664746","https://openalex.org/W2320848561","https://openalex.org/W2329986772","https://openalex.org/W3021444882","https://openalex.org/W3121281306","https://openalex.org/W4235816940"],"related_works":["https://openalex.org/W2358967034","https://openalex.org/W2155717523","https://openalex.org/W2024495128","https://openalex.org/W78903400","https://openalex.org/W2166298757","https://openalex.org/W3136500995","https://openalex.org/W3125299121","https://openalex.org/W2145741896","https://openalex.org/W2392864119","https://openalex.org/W2226087087"],"abstract_inverted_index":{"This":[0,72],"paper":[1],"presents":[2],"an":[3,17],"application":[4],"of":[5],"risk":[6,29,76],"sensitive":[7,77],"control":[8],"theory":[9],"in":[10,85,93],"financial":[11],"decision":[12],"making.":[13],"The":[14,54],"investor":[15],"has":[16],"infinite":[18],"horizon":[19],"objective":[20],"that":[21,59],"can":[22],"be":[23,97],"interpreted":[24],"as":[25],"maximizing":[26],"the":[27,60,64,81,86,94],"portfolio's":[28],"adjusted":[30],"exponential":[31],"growth":[32],"rate.":[33],"There":[34],"are":[35],"two":[36,45],"assets,":[37],"a":[38,41],"stock":[39],"and":[40,44,88],"bank":[42,65],"account,":[43],"underlying":[46],"Brownian":[47],"motions,":[48],"so":[49],"this":[50],"model":[51],"is":[52,58,67,73],"incomplete.":[53],"novel":[55],"feature":[56],"here":[57],"interest":[61],"rate":[62],"for":[63,75],"account":[66],"governed":[68],"by":[69],"Cox--Ingersoll--Ross":[70],"dynamics.":[71],"significant":[74],"portfolio":[78],"management":[79],"because":[80],"factor":[82],"process,":[83],"unlike":[84],"Gaussian":[87],"all":[89],"other":[90],"cases":[91],"treated":[92],"literature,":[95],"cannot":[96],"negative":[98],"(under":[99],"appropriate":[100],"parameterization).":[101]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":3}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
