scientific article
From MaRDI portal
Publication:2707636
zbMath1013.91057MaRDI QIDQ2707636
No author found.
Publication date: 3 July 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
optimal strategystochastic differential equationsoptimal investmentmodified Zakai equationrisk-sensitive asset managementrisk-sensitive stochastic control problem
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. ⋮ Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Downside risk minimization via a large deviations approach ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ An optimal consumption and investment problem with partial information ⋮ Optimal investment-consumption-insurance with partial information
This page was built for publication:
