Optimal portfolio for a highly risk-averse investor: A differential game interpretation (Q3119608)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio for a highly risk-averse investor: A differential game interpretation |
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Optimal portfolio for a highly risk-averse investor: A differential game interpretation (English)
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12 March 2019
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risk-sensitive portfolio optimization
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small-factor-noise
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large-risk-aversion
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linear quadratic differential game
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saddle point
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asymptotically optimal strategy
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fund separation theorem
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hedging-demand-term
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