Stanley R. Pliska

11 papers Journal 10Unranked 1
YearRankTypeTitle / Venue / Authors
2005 J jnl
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation.
SIAM J. Control. Optim.
Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu
2004 J jnl
Risk-sensitive ICAPM with application to fixed-income management.
IEEE Trans. Autom. Control.
Tomasz R. Bielecki, Stanley R. Pliska
2003 — conf
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint.
CDC
Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou
2000 J jnl
Risk sensitive asset management with transaction costs.
Finance Stochastics
Tomasz R. Bielecki, Stanley R. Pliska
1999 J jnl
Optimal trading of a security when there are taxes and transaction costs.
Finance Stochastics
Abel Cadenillas, Stanley R. Pliska
1999 J jnl
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management.
Math. Methods Oper. Res.
Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska
1993 J jnl
Optimal portfolios with asymptotic criteria.
Ann. Oper. Res.
Hiroshi Konno, Stanley R. Pliska, Ken-Ichi Suzuki
1991 J jnl
Optimal Scheduling of Inspections: A Delayed Markov Model with False Positives and Negatives.
Oper. Res.
Süleyman Özekici, Stanley R. Pliska
1986 J jnl
A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios.
Math. Oper. Res.
Stanley R. Pliska
1980 J jnl
Accretive Operators and Markov Decision Processes.
Math. Oper. Res.
Stanley R. Pliska
1977 J jnl
Optimal Control of Single-Server Queuing Networks and Multi-Class
Oper. Res.
Dong-wan Tcha, Stanley R. Pliska