Risk-sensitive portfolio optimization problem for a large trader with inside information (Q1630226)
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scientific article; zbMATH DE number 6990731
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive portfolio optimization problem for a large trader with inside information |
scientific article; zbMATH DE number 6990731 |
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Risk-sensitive portfolio optimization problem for a large trader with inside information (English)
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7 December 2018
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risk-sensitive control
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stochastic factor model
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insider trading
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HJB equation
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0.8805815
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0.8792124
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0.8586514
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0.8584343
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0.8481256
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