Risk-sensitive portfolio optimization on infinite time horizon (Q4799385)
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scientific article; zbMATH DE number 1886343
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-sensitive portfolio optimization on infinite time horizon |
scientific article; zbMATH DE number 1886343 |
Statements
Risk-sensitive portfolio optimization on infinite time horizon (English)
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2002
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Portfolio optimization
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Risk-sensitive control
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Infinite time horizon
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Riccati equations
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Bellman equations
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Factor model
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