Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach (Q3647589)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach |
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Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach (English)
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23 November 2009
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risk-sensitive control
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portfolio optimization
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reflecting diffusion
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Skorohod problem
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