On long term investment optimality
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Publication:2318095
DOI10.1007/s00245-017-9457-6zbMath1422.91668arXiv1609.00587OpenAlexW2963383037MaRDI QIDQ2318095
Publication date: 13 August 2019
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.00587
Related Items (2)
Weighted entropy and optimal portfolios for risk-averse Kelly investments ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes
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