Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models. - Hideo Nagai (SIAM J. Control. Optim., 2003)

Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs. - Hideo Nagai (Asymptot. Anal., 2006)

Down-side risk minimization under prescribed consumption level. - Hideo Nagai (Risk Decis. Anal., 2012)

Risk-Sensitive Stochastic Control. - Hideo Nagai (Encyclopedia of Systems and Control, 2015)

An Optimal Consumption Problem for General Factor Models. - Hiroaki Hata; Hideo Nagai; Shuenn-Jyi Sheu (SIAM J. Control. Optim., 2018)