Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps |
scientific article; zbMATH DE number 6987746
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps |
scientific article; zbMATH DE number 6987746 |
Statements
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (English)
0 references
3 December 2018
0 references
risk-sensitive asset management
0 references
Wishart autoregressive jump-diffusion factor
0 references
Riccati differential equation
0 references
0 references
0 references
0 references
