Risk-Sensitive Investment Management

DOI10.1142/9026zbMath1298.91006OpenAlexW3152021798MaRDI QIDQ2929576

Mark H. A. Davis, Sébastien Lleo

Publication date: 13 November 2014

Published in: Advanced Series on Statistical Science & Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9026

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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