Risk-sensitive portfolio optimization problem for a large trader with inside information
DOI10.1007/S13160-018-0318-8zbMath1403.93196OpenAlexW2883866532WikidataQ129515597 ScholiaQ129515597MaRDI QIDQ1630226
Publication date: 7 December 2018
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-018-0318-8
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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Cites Work
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