Risk-sensitive asset management with lognormal interest rates
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Publication:2036891
DOI10.1007/s10690-020-09312-6zbMath1467.91161OpenAlexW3043272993MaRDI QIDQ2036891
Publication date: 30 June 2021
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-020-09312-6
Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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