A large deviations approach to optimal long term investment
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Publication:1424711
DOI10.1007/s007800200082zbMath1035.60023OpenAlexW4297824132MaRDI QIDQ1424711
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200082
large deviationoptimal portfoliobenchmarkrisk sensitive controldynamic programming equationoptimal logarithmic moment generating function
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